Corporate Governance and the Informational Efficiency of Asset Price

2011 ◽  
Author(s):  
Choonsik Lee ◽  
Kee H. Chung
Keyword(s):  
Corporate Governance ◽  
Asset Price ◽  
Informational Efficiency

Corporate Governance and the Informational Efficiency of Prices

2015 ◽  
Vol 45 (1) ◽  
pp. 239-260 ◽  
Author(s):  
Choonsik Lee ◽  
Kee H. Chung ◽  
Sean Yang
Keyword(s):  
Corporate Governance ◽  
Informational Efficiency

scholarly journals Testing for efficiency in the Saudi stock market: does corporate governance change matter?

2020 ◽  
Author(s):  
Mamdouh Abdulaziz Saleh Al-Faryan ◽  
Everton Dockery
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Stock Prices ◽  
Hurst Exponent ◽  
Weak Form ◽  
Long Range Dependence ◽  
Informational Efficiency ◽  
Variance Ratio ◽  
Wald Tests ◽  
Random Walk Hypothesis

Abstract We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.

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