Integration and efficiency for local and regional equity markets during the financial crisis

Authors

  • Lamia SEBAI RED-ISGG

DOI:

https://doi.org/10.59051/joaf.v13i1.505

Keywords:

Efficiency, Integration, Crises

Abstract

Objective: to study the link between the market integration and informational efficiency in the local and regional market, while taking into account the global financial crisis.

Method: the adjusted pricing error from an equilibrium international asset pricing model as a proxy for market integration.

Results: the markets that are more integrated with the US market are also more efficient. This association lost its explanatory power during the crisis period than their developed counterparts.

Originality / relevance: the first study to examine the integration and efficiency of local and regional markets taking into account periods of crisis.

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References

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Published

2022-06-30

How to Cite

SEBAI, L. (2022). Integration and efficiency for local and regional equity markets during the financial crisis. Journal of Academic Finance, 13(1), 43–61. https://doi.org/10.59051/joaf.v13i1.505

Issue

Vol. 13 No. 1 (2022): Spring 2022

Section

Articles

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Copyright (c) 2022 Lamia Sebai

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