|The Fast and Slow Speed of Convergence to Market Efficiency - A Note for Large and Small Stocks on the Stock Exchange of Thailand
|National Research Council of Thailand
|Social Science Asia
|Financial markets around the world are converging to informational efficiency due to factors such as adaptive investors, strong competition, communication networks, and financialinnovations. Within the same markets, however, the benefits of these factors to large and small stocks are not necessarily the same, hence leading to a faster or slower speed ofconvergence to market efficiency. This study measures the convergence speed for large stocks and small stocks on the Stock Exchange of Thailand from August 16, 1995 to August31, 2015. For the overall market, the efficiency improves over time. While the market for large stocks exhibits fast speed, the market for small stocks hardly converges. So the improved efficiency is limited only to the market for large stocks.