Advanced Search
MyIDEAS: Login

Stock market liberalization, structural breaks and dynamic changes in emerging market volatility

Contents:

Author Info

  • Duc Khuong Nguyen
  • Mondher Bellalah

Abstract

Purpose – This paper aims to empirically reexamine the dynamic changes in emerging market volatility around stock market liberalization. Design/methodology/approach – First, a bivariate GARCH-M model which counts for partial market integration is developed for modeling stock market volatility in emerging market countries. Second, the Bai and Perron stability test in a linear framework and a pooled time-series cross-section model were employed to examine the empirical relationship between stock market liberalization and volatility. Findings – Structural breaks detected in emerging market volatility series did not take place at the time of official liberalization dates, but they rather coincide with alternative events of liberalization process. The effects of official liberalization on return volatility are on average insignificant. The stock return volatility is however lowered when the participation of the US investors becomes effective and important on emerging markets, and when emerging markets increase in size. Research limitations/implications – The study assumes a static degree of market integration. Future research should extend our model by using a time-varying measure of market integration. Practical implications – Policymakers in frontier markets should open up local stock markets to attract foreign investments and to allow local firms to benefit from international risk sharing. Also, the gradual embankment of market-liberalization is necessary to gain investors' confidence and to prevent the harmful effects of foreign capital flows. Originality/value – The consideration of alternative events of liberalization process and the use of a powerful stability test to examine the time-series properties of conditional volatilities.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.emeraldinsight.com/Insight/viewContentItem.do;jsessionid=4C3FD8A6420A21E0C806C84F5F942680?contentType=Article&contentId=1752426
Download Restriction: Cannot be freely downloaded

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Emerald Group Publishing in its journal Review of Accounting and Finance.

Volume (Year): 7 (2008)
Issue (Month): 4 (November)
Pages: 396-411

as in new window
Handle: RePEc:eme:rafpps:v:7:y:2008:i:4:p:396-411

Contact details of provider:
Web page: http://www.emeraldinsight.com

Order Information:
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Email:
Web: http://www.emeraldinsight.com/raf.htm

Related research

Keywords: Emerging markets; Stock markets; Stock returns; Time-series analysis;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eme:rafpps:v:7:y:2008:i:4:p:396-411. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Lister).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.