Market Development, Information Diffusion, and the Global Anomaly Puzzle

Charlie Cai, Kevin Keasey, Peng Li, Qi Zhang

Research output: Contribution to journalArticlepeer-review

1 Citation (SciVal)


Previous literature finds anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This is consistent with theoretical developments concerning the process of information diffusion. In extremely low-efficiency regimes, without newswatchers sowing the seeds of price discovery and ensuring the long-run convergence of price to fundamentals, initial mispricing and subsequent correction will not occur. The concentration of emerging countries in low-efficiency regimes provides an explanation to the puzzle.
Original languageEnglish
Pages (from-to)104-147
Number of pages44
JournalJournal of Financial and Quantitative Analysis
Issue number1
Early online date11 Jul 2022
Publication statusPublished - 11 Feb 2023


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