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Can Information And Communication Technology Improve Stock Market Efficiency? A Cross‐Country Study

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  • Ming‐Hsuan Lee
  • Tou‐Chin Tsai
  • Jau‐er Chen
  • Mon‐Chi Lio

Abstract

The rapid advance of information and communication technology (ICT) has revolutionized the dissemination of stock market information. Based on the noise trading theory, this study discusses whether the changes brought by ICT have promoted the transparency of stock market information or instead flooded the stock market with misinformation. A cross‐country panel dataset of 71 countries from 2002 to 2014 was established. The empirical methodologies include panel unit root tests, panel variance ratio tests, and panel multiple regressions. The results of panel unit root tests and panel variance ratio tests show that stock markets in countries with high ICT diffusion are efficient while stock markets in countries with low or medium ICT diffusion are not all efficient. The results of panel regressions further show that the effect of ICT diffusion in reducing market noises was more significant than its effect in magnifying the noises.

Suggested Citation

  • Ming‐Hsuan Lee & Tou‐Chin Tsai & Jau‐er Chen & Mon‐Chi Lio, 2019. "Can Information And Communication Technology Improve Stock Market Efficiency? A Cross‐Country Study," Bulletin of Economic Research, Wiley Blackwell, vol. 71(2), pages 113-135, April.
    • Handle: RePEc:bla:buecrs:v:71:y:2019:i:2:p:113-135
    DOI: 10.1111/boer.12151
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    Cited by:

    1. Jiexia Ye & Juanjuan Zhao & Kejiang Ye & Chengzhong Xu, 2020. "Multi-Graph Convolutional Network for Relationship-Driven Stock Movement Prediction," Papers 2005.04955, arXiv.org, revised Oct 2020.
    2. Asif Khan & Wu Ximei, 2022. "Digital Economy and Environmental Sustainability: Do Information Communication and Technology (ICT) and Economic Complexity Matter?," IJERPH, MDPI, vol. 19(19), pages 1-21, September.
    3. abid, Nabila & Ceci, Federica & Razzaq, Asif, 2023. "Inclusivity of information and communication technology in ecological governance for sustainable resources management in G10 countries," Resources Policy, Elsevier, vol. 81(C).
    4. Ebaidalla Mahjoub Ebaidalla & Sana Abusin, 2022. "The Effect of ICT on CO2 Emissions in the GCC Countries: Does Globalization Matter?," International Journal of Energy Economics and Policy, Econjournals, vol. 12(6), pages 56-66, November.
    5. Sepehrdoust, Hamid & Ahmadvand, Shokoufeh & Mirzaei, Nesa, 2022. "Impact of information, communication technology and housing industry on financial market development," Technology in Society, Elsevier, vol. 69(C).

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