Legal systems and stock market efficiency: an empirical analysis of stock indices around the world
研究了不同国家法律起源（普通法系与大陆法系）对股票市场价格效率的影响，基于34个国家21年的日度股票指数数据，发现普通法系国家的价格效率更高。
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.