On the dynamics of international stock market efficiency

被引：1
|
作者：
Khaled, Mohammed S. [1 ]
Keef, Stephen P. [1 ]
机构：
[1] Victoria Univ Wellington, Sch Econ & Finance, POB 600, Wellington, New Zealand
来源：
COGENT ECONOMICS & FINANCE | 2014年 / 2卷 / 01期
关键词：
market efficiency; international; stock indices; panel model; Granger causality;
D O I：
10.1080/23322039.2014.923778
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There is evidence that market efficiency increases over time at a decreasing rate.
引用
收藏
页数：11
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