Market Segmentation and Price Efficiency across Emerging Markets

• Main Authors: Fu-Ting Liang, 梁富珽
• Other Authors: Chin‐Wen Hsin
• Format: Others
• Language: en_US
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/z98393

碩士 === 元智大學 === 財務金融暨會計碩士班(財務金融學程) === 106 === Emerging markets suffer from greater political risk, macroeconomic instability and poor investor protection, and therefore become more segmented from global markets. In particular, short sale constraints, among other institutional factors, are important impediments to price efficiency of common stocks. This study examines stock price efficiency across emerging markets, with particular emphasis on the impact from short sale constraints and the degree of market segmentation. Empirical evidence across emerging markets show that short sale constraints indeed impair price efficiency of emerging stock markets. Results however only find weak relation between market segmentation and price efficiency when firm-level factors are considered.