Role of market microstructure in the relationship between market co-movement and market efficiency

This study examines the effects of changes in stock market microstructure on internal market efficiency and explores the relations among internal market efficiency, market co-movement and cross-market efficiency using evidence from Shanghai and Hong Kong stock exchanges. The results show that changes in the market microstructure have significant effects on the internal market efficiencies of the two markets. Second, the developed market (Hong Kong stock exchange) is not always more efficient than the emerging market (Shanghai stock exchange). Third, the cross-market efficiency is only affected by the internal market efficiency of the emerging market during normal economic conditions, but is determined by the internal market efficiency of the emerging market and the market co-movement during the financial crisis period. Finally, this study confirms Dwyer and Wallace's (1992) statement that strong market co-movement does not apply cross-market inefficiency.

Authors

• Zhang, Xiaofei
• University of Lethbridge. Faculty of Management

• Hong Kong Stock Exchange
• Shanghai Stock Exchange
• Stock exchanges
• Efficient market theory
• Dissertations, Academic

Identifier

hdl:10133/3460

OAI identifier oai:identifier

oai:opus.uleth.ca:10133/3460