Speed of share price adjustment to information

Abstract

Builds on the work of Damodaran (1993) and Brisley and Theobald (19967) on measuring the speed with which stock markets convert information into price changes by using a simpler model of the price adjustment coefficient and applying it to 1988‐1966 data from the Hong Kong, US and Japanese markets and the Morgan Stanley Capital International indexes. Explains the methodology and presents the detailed results, which show that the Hong Kong adjustment is similar to the US and Japan for systematic and for all information; although the range of adjustment speeds depends on the sector and composition of the indexes. Makes many comparisons between the three markets and suggests that this method of describing market efficiency could provide a more consistent and objective ranking of worlds capital markets.

Citation

Chan, D. and Ariff, M. (2002), "Speed of share price adjustment to information", Managerial Finance, Vol. 28 No. 8, pp. 44-65. https://doi.org/10.1108/03074350210768004