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Market tempo: Decoding information speed across global stock markets

Author

Listed:
  • Erfanian, Azadeh
  • Ariff, Mohamed
  • Bhatti, M. Ishaq

Abstract

This study explores the speed of information absorption in global stock markets using the Damodaran model. Analysing daily stock returns from 2005 to 2015 across 25 countries and 26 indices, the research categorizes markets into major, OECD, and emerging types. Major markets demonstrate the fastest adjustment, achieving a remarkable 1-day speed, followed by OECD markets with a 2–4-day span and emerging markets showing a 2–6-day duration for full information absorption. The results highlight significant mean speed variations across these market categories, offering practical insights for international businesses, corporations, and mutual funds navigating financial transactions globally. This study contributes valuable insights into information absorption speed, emphasizing the hierarchy of major, OECD, and emerging markets based on their speediness. Limitations include the exclusive focus on daily stock returns and the absence of specific diagnostic statistics for the Damodaran model.

Suggested Citation

  • Erfanian, Azadeh & Ariff, Mohamed & Bhatti, M. Ishaq, 2024. "Market tempo: Decoding information speed across global stock markets," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    • Handle: RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006270
    DOI: 10.1016/j.iref.2024.103635
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    More about this item

    Keywords

    Stock prices; Stock market volatility; Financial markets; Price adjustment; Market efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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