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

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dc.contributor.authorZhang, Xiaofei
dc.contributor.authorUniversity of Lethbridge. Faculty of Management
dc.contributor.supervisorAsem, Ebenezer
dc.contributor.supervisorYalamova, Rossitsa
dc.date.accessioned2014-07-04T17:48:46Z
dc.date.available2014-07-04T17:48:46Z
dc.date.issued2012
dc.degree.levelMastersen_US
dc.descriptionviii, 66 leaves ; 29 cmen_US
dc.description.abstractThis 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.en_US
dc.identifier.urihttps://hdl.handle.net/10133/3460
dc.language.isoen_CAen_US
dc.proquestyesNoen_US
dc.publisherLethbridge, Alta. : University of Lethbridge, Faculty of Management, c2012en_US
dc.publisher.facultyManagementen_US
dc.relation.ispartofseriesThesis (University of Lethbridge. Faculty of Management)en_US
dc.subjectHong Kong Stock Exchangeen_US
dc.subjectShanghai Stock Exchangeen_US
dc.subjectStock exchangesen_US
dc.subjectEfficient market theoryen_US
dc.subjectDissertations, Academicen_US
dc.titleRole of market microstructure in the relationship between market co-movement and market efficiencyen_US
dc.typeThesisen_US
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