CAN INFORMATION AND COMMUNICATION TECHNOLOGY IMPROVE STOCK MARKET EFFICIENCY? A CROSS‐COUNTRY STUDY

Autor:	Jau-er Chen, Tou‐Chin Tsai, Monchi Lio, Ming-Hsuan Lee
Rok vydání:	2018
Předmět:	Economics and Econometrics 050208 finance Cross country Transparency (market) 05 social sciences Variance ratio Information and Communications Technology 0502 economics and business Econometrics Economics Stock market Misinformation Unit root 050207 economics Stock (geology)
Zdroj:	Bulletin of Economic Research. 71:113-135
ISSN:	1467-8586 0307-3378
DOI:	10.1111/boer.12151
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2a32a89de27e7f6626201a2bbf8a5b8a https://doi.org/10.1111/boer.12151 Zobrazit plný text záznamu