The researchers looked at how information about the value of an asset affects its price in a financial market. They found that when the values of two assets are related, market efficiency can be worse. Specifically, if one asset's value is high, prices can be too low if the other asset's value is low. And if one asset's value is low, prices can be further from what is expected if the values of the two assets are related. This shows that the connection between different markets can make it harder for traders to make informed decisions.