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Is market integration associated with informational efficiency of stock markets?
16 references·10 citing·47 second hop
Is market integration associated with informational efficiency of stock markets? (2012)Is market integration associated with inf…The Real Effects of Financial Markets (2012)The Real Effects of Financial…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Price Informativeness and Investment Sensitivity to Stock Price (2006)Price Informativeness and Inv…Financial Globalization: A Reappraisal (2006)Financial Globalization: A Re…Financial Globalization: A Reappraisal (2006)Financial Globalization: A Re…R2 around the world: New theory and new tests☆ (2005)R2 around the world: New theo…Value‐Enhancing Capital Budgeting and Firm‐specific Stock Return Variation (2004)Value‐Enhancing Capital Budge…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Stock Market Liberalization, …Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Financial markets and the allocation of capital (2000)Financial markets and the all…Stock Markets, Banks, and Economic Growth (1999)Stock Markets, Banks, and Eco…Stock Markets, Banks, and Economic Growth (1996)Stock Markets, Banks, and Eco…The Stock Market and Investment: Is the Market a Sideshow? (1990)The Stock Market and Investme…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Reporting quality, stock market integration, and investment efficiency in Latin America (2023)Reporting quality, stock mark…Segmentation, business environment and global informational efficiency of emerging financial markets (2022)Segmentation, business enviro…An Entropy Approach to Measure the Dynamic Stock Market Efficiency (2022)An Entropy Approach to Measur…Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic (2021)Effectiveness of policy inter…Integration of Islamic capital market in ASEAN-5 countries (2020)Integration of Islamic capita…A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets (2017)A tripartite inquiry into vol…Risk Perceptions and International Stock Market Liquidity (2016)Risk Perceptions and Internat…Price discovery of cross-listed firms (2016)Price discovery of cross-list…Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets (2016)Cross-correlations between vo…Do capital controls affect stock market efficiency? Lessons from Iceland (2015)Do capital controls affect st…Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Does board gender diversity improve the informativeness of stock prices? (2011)Understanding commonality in liquidity around the world (2011)Corporate social responsibility and stock price crash risk (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Long-Run Performance of Initial Public Offerings (1991)Economic Reform and the Process of Global Integration (1995)Event Studies in Economics and Finance (1997)The great reversals: the politics of financial development in the twentieth century (2003)Does financial liberalization spur growth? (2005)What matters for financial development? Capital controls, institutions, and interactions (2005)Bank Runs, Deposit Insurance, and Liquidity (1983)On the mechanics of economic development (1988)A Contribution to the Empirics of Economic Growth (1992)Financial intermediation and growth: Causality and causes (2000)Finance and Growth: Theory and Evidence (2004)Law, finance, and economic growth in China (2005)Asset Prices in an Exchange Economy (1978)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Capital markets research in accounting (2001)Illiquidity and stock returns: cross-section and time-series effects (2002)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)The Theory of Economic Development (2003)Chapter 12 Finance and Growth: Theory and Evidence (2005)Financing Constraints and Corporate Investment (1988)The Cross-Section of Expected Stock Returns (1992)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The Information Role of Conservatism (2008)Intangible capital and the investment-q relation (2016)The impact of environmental, social, and governance disclosure on firm value: The role of CEO power (2017)The General Theory of Employment, Interest and Money. (1936)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Investor protection and corporate governance (2000)Investor Protection and Corporate Valuation (2002)On the Impossibility of Informationally Efficient Markets (1980)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)Trade Liberalization and Growth: New Evidence (2008)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1996Stock Markets, Banks, and Economic Growth3,889 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1999Stock Markets, Banks, and Economic Growth2,907 cited
  • 2005R2 around the world: New theory and new tests☆2,833 cited
  • 2000Financial markets and the allocation of capital1,972 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,962 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 2006Price Informativeness and Investment Sensitivity to Stock Price1,492 cited
  • 2000Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices1,385 cited
  • 2006Financial Globalization: A Reappraisal968 cited
  • 2006Financial Globalization: A Reappraisal955 cited
  • 2012The Real Effects of Financial Markets899 cited
  • 2004Value‐Enhancing Capital Budgeting and Firm‐specific Stock Return Variation890 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 1990

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The Stock Market and Investment: Is the Market a Sideshow?
737 cited

Cited by

  • 2017A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets34 cited
  • 2022An Entropy Approach to Measure the Dynamic Stock Market Efficiency33 cited
  • 2021Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic31 cited
  • 2016Risk Perceptions and International Stock Market Liquidity26 cited
  • 2016Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets23 cited
  • 2016Price discovery of cross-listed firms22 cited
  • 2020Integration of Islamic capital market in ASEAN-5 countries19 cited
  • 2015Do capital controls affect stock market efficiency? Lessons from Iceland15 cited
  • 2022Segmentation, business environment and global informational efficiency of emerging financial markets15 cited
  • 2023Reporting quality, stock market integration, and investment efficiency in Latin America13 cited