Leon Zolotoy
| Date of Ph.D. defense: | 25 June 2008 |
| Title of thesis: | Empirical Essays on the Information Transfer Between and the Informational Efficiency of Stock Markets |
| ISBN: | 978 90 5668 216 3 |
| Promotores: | Prof.dr. B. Melenberg |
Abstract:
This dissertation contains five essays on empirical asset pricing. The focus of the first two chapters is on modeling the comovement and information spillovers between stock markets. Understanding the mechanism of information transfer between the stock markets is becoming a particular important issue in light of economies becoming increasingly globally oriented. The last three studies examine stock market efficiency, in particular, how fast information is impounded in stock prices. Among other results, we emphasize strong links between the securities' speed of adjustment to a new information, disclosure regulations and the timing of information releases by firm's management.
Global / English