Unveiling the Global Market Puzzle: Examining Stock Price Information Speed
30 Pages Posted: 22 Aug 2023
Abstract
The process of stock price formation relies on investors acting upon value-relevant information, resulting in permanent price changes, while transitory noise information is disregarded. This paper aims to examine the speed at which all information arriving in a stock market is converted into permanent price changes, shedding light on the dynamics of global market behavior.It Utilizes the speed of adjustment metrics for 26 world markets, intriguing findings emerge, highlighting variations in adjustment speeds to value-relevant information across international marketplaces. The analysis reveals that some markets exhibit rapid adjustments within days, while others do so within a single day. Furthermore, a comparative study of major markets indicates a slower speed of adjustment in the pre-2000 era, in contrast to the higher speed observed in recent years, particularly those ending in 202
Keywords: Stock Prices, Stock Market Volatility, Financial markets, Price Adjustment, market efficiency
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