Cross-country determinants of market efficiency: A technical analysis perspective
Year: 2024
Type: article
Abstract: 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.
Source: Journal of Banking & Finance
Authors: Jiali Fang, Ben Jacobsen
Institutions: Massey University, TIAS School for Business and Society
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,240
OpenAlex ID: W4402309899