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Legal systems and stock market efficiency: an empirical analysis of stock indices around the world

Published online by Cambridge University Press:  17 March 2023

Natalia Diniz-Maganini Open the ORCID record for Natalia Diniz-Maganini [Opens in a new window] ,
Abdul A. Rasheed  and
Mahmut Yaşar
Natalia Diniz-Maganini*
Affiliation:
Department of Accounting, Finance, and Control, FGV EAESP – Sao Paulo School of Business Administration, Sao Paulo, SP, Brazil
Abdul A. Rasheed
Affiliation:
Department of Management, College of Business Administration, University of Texas at Arlington, Arlington, TX, USA
Mahmut Yaşar
Affiliation:
Department of Economics, College of Business Administration, University of Texas at Arlington, Arlington, TX, USA
*
*Corresponding author. Email: natalia.diniz@fgv.br
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Abstract

We examine whether the differences in the legal origins of countries (Common Law versus Civil Law) can explain the variations in the price efficiencies of the stock markets of different countries. Based on multifractal detrended fluctuation analysis of the daily stock indices of 34 countries over 21 years, we find that the stock price indices in Common Law origin countries show greater price efficiency than the stock price indices in Civil Law countries. These results provide additional evidence that the legal origins of countries affect their economic activities and outcomes.

Keywords

Institutional differenceslegal originmultifractal analysisprice efficiency

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Type
Research Article
Information
Journal of Institutional Economics , Volume 19 , Issue 4 , August 2023 , pp. 459 - 477
Copyright
Copyright © The Author(s), 2023. Published by Cambridge University Press on behalf of Millennium Economics Ltd.

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