Is Higher Market Integration Associated with Improved Market Efficiency?

15 Pages Posted: 10 Jun 2009

See all articles by Chee Wooi Hooy

Chee Wooi Hooy

Universiti Sains Malaysia

Kian-Ping Lim

Universiti Malaya

Date Written: June 9, 2009

Abstract

This study addresses the question of whether a more integrated stock market is associated with a higher degree of informational efficiency. Generally, our measures for market integration and market efficiency both shows improvement over time and emerging markets are less integrated and less efficient as compared to their developed counterparts. Our empirical results based on panel regression show that there is a positive association between market integration and informational efficiency, even after controlling for standard determinants of price delay.

Keywords: Market efficiency, Market integration, Price delay, Pricing errors, Stock market

JEL Classification: F36, G14, G15

Suggested Citation

Hooy, Chee Wooi and Lim, Kian-Ping, Is Higher Market Integration Associated with Improved Market Efficiency? (June 9, 2009). Available at SSRN: https://ssrn.com/abstract=1416485 or http://dx.doi.org/10.2139/ssrn.1416485

Chee Wooi Hooy

Universiti Sains Malaysia ( email )

Minden, Penang
Malaysia

Kian-Ping Lim (Contact Author)

Universiti Malaya ( email )

Department of Economics
Faculty of Economics and Administration
Kuala Lumpur, 50603
Malaysia

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