Suchergebnisse

In this study the institutional approach is used to analyze the issues of stock market efficiency. Until now corporate finance theory, primarily based on the neoclassical methodology, has viewed the issue of the stock market efficiency only as a problem of information function of stock market prices. In this study we present another view that the efficiency of stock market is the efficiency of market institutions functioning and especially of its regulative institutions. Such an approach seems to be up-to-date in the context of analysis of the emerging markets experience including the Russian case where the market and regulative institutions are still in the process of forming.

This article analyses the degree of stock market efficiency in three emerging economies— India, China and Brazil. It tests to see if US stock returns have an influence on endogenous stock returns, even after controlling for domestic macroeconomic variables. A country-specific vector auto-regression model is used to test the short-run effects and the fully modified ordinary least square procedure has been used to find the long-run relationship, thus checking for degree of efficiency in these stock markets. The results indicate that, despite controlling for key domestic stock return determinants, US stock returns have a significant positive relationship with the stock returns of all three countries. JEL Classification: G15, C32, C34