Financial Deregulation And Volatility In Emerging Equity Markets
AbstractThe opening of stock markets in Asian, Latin American and other developing countries over the past decade has been widely praised, as there are many potential benefits of financial integration with the rest of the world. However, the turmoil in emerging markets since the Mexican, Asian, and Russian crises have led policy makers and investors to wonder whether greater financial openness may actually increase the volatility of stock returns. The variance of share returns has important implications for determining portfolio allocation as well as the cost of capital, and if variability rises it may counteract some of the benefits of openness. Theory on the effects of market opening on volatility has been ambiguous, and empirical work has yielded conflicting results. This paper examines the issue by testing for a larger variety of reforms than have been studied before. Moreover, the data set employed spans important episodes such as the Asian, Russian and Brazilian devaluations which have occurred since previous empirical studies were written. Results indicate that reform has a statistically significant impact in almost three fifths of the emerging markets surveyed, but more often than not, the effect is actually to raise, rather than lower the volatility of stock returns.
Download InfoIf 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.
Bibliographic InfoArticle provided by Chung-Ang Unviersity, Department of Economics in its journal Journal Of Economic Development.
Volume (Year): 27 (2002)
Issue (Month): 2 (December)
International Finance; International Financial Markets;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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: (Changhui Kang).
If references are entirely missing, you can add them using this form.