全球化与股票市场效率

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-07-19 DOI:10.1016/j.frl.2025.107955

Turker Acikgoz

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引用次数: 0

摘要

本研究探讨全球化及其子维度对新兴及发达经济体股票市场效率的影响。通过使用多重分形去趋势波动分析（MF-DFA）得出的市场效率指数，研究结果表明，全球化显著降低了市场效率，尤其是在新兴市场。经济、政治和社会相关的全球化维度被认为是低效率的主要驱动因素。相比之下，发达市场似乎基本上没有受到全球化力量的影响。研究结果为决策者和投资者在金融市场融入全球经济方面提供了重要启示。

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Globalization and stock market efficiency

This study investigates the impact of globalization and its sub-dimensions on stock market efficiency across emerging and advanced economies. By using the Market Efficiency Index derived from multifractal detrended fluctuation analysis (MF-DFA), the findings reveal that globalization significantly reduces market efficiency, particularly in emerging markets. Economic, political, and social-related globalization dimensions are identified as key drivers of inefficiency. In contrast, advanced markets appear largely unaffected by globalization forces. The results provide important implications for policymakers and investors regarding the integration of financial markets into the global economy.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance