Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets

By John M. Griffin, P. Kelly, Federico Nardari. 2010

502 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/16d0aebc53d3543b08afeee2a1e5c596b800bccf

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Citations in the corpus

How Important Is the Financial Media in Global Markets (2011, background): “…in the informational environment across countries, and few studies that attempt to quantify the importance of public news internationally.3,4 Griffin, Kelly, and Nardari(2010) find that it is not feasible to make statements of relative market efficiency internationally using traditional…”
Board Reforms and Firm Value: Worldwide Evidence (2017, unknown): “We begin with the stocks in DataStream country lists (including delisted stocks) and apply various filters recommended in prior studies to include only common stocks in our final sample (Ince and Porter, 2006; and Griffin et al., 2010).”
The Illiquidity Premium: International Evidence (2015, unknown): “6 The 45 sample markets are split into 19 emerging and 26 developed markets, following the classification by per-capita Gross National Income of the World Bank and of Griffin, Kelly, and Nardari (2010).”
Risk in Islamic banking and corporate governance (2018, background): “10 We follow Griffin et al. (2010) by requiring a stock to have daily volume data, and at least 30% trading days of non-zero price changes in a year to be included in the sub-sample of publicly traded banks.”
A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices (2012, background): “See Amihud, Lauterbach, and Mendelson (2003), Chakrabarti et al. (2005), or Griffin, Kelly, and Nardari (2010) for examples of the application of Roll spread estimators to international data.”
Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy. (2012, background): “For example, Griffin et al. (2010) show that stock prices in emerging markets may reflect less idiosyncratic information.”
What Are the Best Liquidity Proxies for Global Research (2017, background): “1 See Stahel (2005), Liang and Wei (2006), Bekaert, Harvey, and Lundblad (2007), Chan, Jain, and Xia (2008), Griffin, Kelly, and Nardari (2010), Hearn, Piesse, and Strange (2010), Griffin, Hirschey, and Kelly (2011), Lee (2011), Asness, Moskowitz, and Pedersen (2013), and Bekaert et al. (2014).”
Do cross-border acquisitions create value? Evidence from overseas acquisitions by Chinese firms (2016, background): “(Griffin et al., 2010), and that Chinese stocks are priced remarkably similar to the”
Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, background): “…US stock indices are serially correlated (for recent corroborative evidence, see Nankervis and Savin, 2010).4 In an extensive cross-country study, Griffin et al. (2010) compute, among others, the VR statistic to compare the relative efficiency of 56 international stock markets over the sample…”
Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, unknown): “For example, Griffin, Kelly, and Nardari (2010) examine data from 28 emerging markets and 28 developed markets and estimate trading cost declines of around 60% between 1994 and 2005.”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “are consistent with the findings of Han and Lesmond (2011). They show that in the U.”