This paper measures the efficiency and convergence of 37 stock exchanges in 35 countries over the period from 2006 to 2014, a period that encompasses a full business cycle of growth, recession and recovery. We combine a multi-stage data envelopment analysis with the window analysis approach to filter out the impact of economic environmental variables on stock exchange efficiency in the provision of trading services and track the efficiency changes over time. We show that economic growth, inflation and financial development are important drivers of efficiency. Lagging stock exchanges are catching up to the leading stock exchanges in terms of technical efficiency, pure technical efficiency and scale efficiency. Exchanges in developed countries converge faster than those in the emerging countries and the dispersion of the efficiency levels over the whole sample and the subsamples of developed vs emerging country stock exchanges diminished. Finally, stock exchanges in emerging countries are catching up to the stock exchanges in the developed countries and the dispersion of the efficiency levels between them also diminished. Overall, our findings indicate that integration has taken place in the stock exchange industry over the sample period.

中文翻译：

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证券交易所效率和趋同：国际证据

本文衡量了 2006 年至 2014 年期间 35 个国家/地区的 37 个证券交易所的效率和趋同性，这一时期包括增长、衰退和复苏的完整商业周期。我们将多阶段数据包络分析与窗口分析方法相结合，滤除经济环境变量对证券交易所提供交易服务效率的影响，并跟踪效率随时间的变化。我们表明经济增长、通货膨胀和金融发展是效率的重要驱动因素。落后的证券交易所在技术效率、纯技术效率和规模效率方面正在追赶领先的证券交易所。发达国家的交易所比新兴国家的交易所收敛得更快，并且效率水平在整个样本和发达国家与新兴国家证券交易所的子样本中的离散程度缩小。最后，新兴国家的证券交易所正在追赶发达国家的证券交易所，它们之间效率水平的差距也在缩小。总体而言，我们的研究结果表明，在样本期内，证券交易所行业发生了整合。