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.

中文翻译：

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法律制度与股票市场效率：全球股票指数的实证分析

我们研究各国法律起源的差异（普通法与大陆法）是否可以解释不同国家股票市场价格效率的差异。基于对34个国家21年来每日股票指数的多重分形去趋势波动分析，我们发现普通法系国家的股票价格指数比大陆法系国家的股票价格指数表现出更高的价格效率。这些结果提供了额外的证据，证明国家的法律起源影响其经济活动和结果。