Cross-Country Determinants of Market Efficiency: A Technical Analysis Perspective

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dc.citation.issueDecember 2024
dc.citation.volume169
dc.contributor.authorFang J
dc.contributor.authorJacobsen B
dc.date.accessioned2024-09-25T23:47:01Z
dc.date.available2024-09-25T23:47:01Z
dc.date.issued2024-12
dc.description.abstractThis 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.
dc.description.confidentialfalse
dc.identifier.citationFang J, Jacobsen B. (2024). Cross-Country Determinants of Market Efficiency: A Technical Analysis Perspective. Journal of Banking and Finance. 169. December 2024.
dc.identifier.doi10.1016/j.jbankfin.2024.107297
dc.identifier.eissn1872-6372
dc.identifier.elements-typejournal-article
dc.identifier.issn0378-4266
dc.identifier.number107297
dc.identifier.piiS0378426624002115
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/71526
dc.languageEnglish
dc.publisherElsevier B V
dc.publisher.urihttps://www.sciencedirect.com/science/article/pii/S0378426624002115
dc.relation.isPartOfJournal of Banking and Finance
dc.rights(c) 2024 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectTechnical analysis profitability
dc.subjectMarket efficiency
dc.subjectHerding
dc.subjectInformation uncertainty
dc.subjectSentiment
dc.subjectChaos
dc.titleCross-Country Determinants of Market Efficiency: A Technical Analysis Perspective
dc.typeJournal article
pubs.elements-id491200
pubs.organisational-groupOther
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