Details

Autor(en) / Beteiligte

• Fang, Jiali
• Jacobsen, Ben

Titel

Cross-country determinants of market efficiency: A technical analysis perspective

Ist Teil von

• Journal of banking & finance, 2024-12, Vol.169, p.107297, Article 107297

Ort / Verlag

Elsevier B.V

Erscheinungsjahr

2024

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• This study examines the relative impact of seven factors, including herding, sentiments, and institutional quality, on varying levels of weak form market efficiency across 50 stock markets. The analysis focuses on the profitability of technical analysis trading strategies to address issues with other (statistical) market efficiency measures related to information and transaction costs (Griffin et al., 2010). Proxies for herding, institutional quality, and equity market development consistently emerge as the most significant cross-country determinants of relative market efficiency. In contrast, proxies for fractionalization, chaos, and investor protection play comparatively weaker roles. We also find no clear link between market efficiency and sentiment proxies.