Legal systems and stock market efficiency: an empirical analysis of stock indices around the world

被引：1

作者：

Diniz-Maganini, Natalia ^{[1
]}

Rasheed, Abdul A. ^{[2
]}

Yasar, Mahmut ^{[3
]}

机构：

[1] FGV EAESP Sao Paulo Sch Business Adm, Dept Accounting Finance & Control, Sao Paulo, SP, Brazil

[2] Univ Texas Arlington, Coll Business Adm, Dept Management, Arlington, TX USA

[3] Univ Texas Arlington, Coll Business Adm, Dept Econ, Arlington, TX USA

来源：

JOURNAL OF INSTITUTIONAL ECONOMICS | 2023年 / 19卷 / 04期

关键词：

Institutional differences; legal origin; multifractal analysis; price efficiency; EMERGING MARKETS; MEAN REVERSION; RANDOM-WALK; LAW; PRICES; INSTITUTIONS; PRIVATE; PROTECTION; MANAGEMENT; LIQUIDITY;

D O I：

10.1017/S174413742300005X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine whether the differences in the legal origins of countries (Common Law versus Civil Law) can explain the variations in the price efficiencies of the stock markets of different countries. Based on multifractal detrended fluctuation analysis of the daily stock indices of 34 countries over 21 years, we find that the stock price indices in Common Law origin countries show greater price efficiency than the stock price indices in Civil Law countries. These results provide additional evidence that the legal origins of countries affect their economic activities and outcomes.

引用

页码：459 / 477

页数：19

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