CAN INFORMATION AND COMMUNICATION TECHNOLOGY IMPROVE STOCK MARKET EFFICIENCY? A CROSS‐COUNTRY STUDY

ABSTRACT The rapid advance of information and communication technology (ICT) has revolutionized the dissemination of stock market information. Based on the noise trading theory, this study discusses whether the changes brought by ICT have promoted the transparency of stock market information or inst...

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Bibliographic Details
Published in:Bulletin of economic research 2019-04, Vol.71 (2), p.113-135
Main Authors: Lee, Ming‐Hsuan, Tsai, Tou‐Chin, Chen, Jau‐er, Lio, Mon‐Chi
Format: Article
Language:English
Subjects:
Communications technology
Dissemination
dynamic panel data (DPD) Model
Economic models
Floods
G14
information and communication technology (ICT)
Information technology
Longitudinal studies
market efficiency
Misinformation
Noise
O33
Purchasing power parity
Securities markets
Stock exchanges
Trading
Transparency
unit root
variance ratio
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Summary:ABSTRACT The rapid advance of information and communication technology (ICT) has revolutionized the dissemination of stock market information. Based on the noise trading theory, this study discusses whether the changes brought by ICT have promoted the transparency of stock market information or instead flooded the stock market with misinformation. A cross‐country panel dataset of 71 countries from 2002 to 2014 was established. The empirical methodologies include panel unit root tests, panel variance ratio tests, and panel multiple regressions. The results of panel unit root tests and panel variance ratio tests show that stock markets in countries with high ICT diffusion are efficient while stock markets in countries with low or medium ICT diffusion are not all efficient. The results of panel regressions further show that the effect of ICT diffusion in reducing market noises was more significant than its effect in magnifying the noises.
ISSN:0307-3378
1467-8586
DOI:10.1111/boer.12151