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Financial liberalization and stock market volatility in selected developing countries

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  • Konstantinos Kassimatis
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    Abstract

    This study empirically investigates whether stock market volatility increased following financial liberalization, in six 'emerging' markets. The sample countries are Argentina, India, Pakistan, Philippines, South Korea and Taiwan. To examine the issue, the news impact curves are utilized which relate current volatility to past news. The news impact curves are derived from the parameters of EGARCH models which measure the conditional volatility of stock returns in the sample markets. The results suggest that volatility fell after important liberalization policies were implemented.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 12 (2002)
    Issue (Month): 6 ()
    Pages: 389-394

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    Handle: RePEc:taf:apfiec:v:12:y:2002:i:6:p:389-394

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    Cited by:
    1. repec:ebl:ecbull:v:7:y:2007:i:10:p:1-14 is not listed on IDEAS
    2. Jaleel, Fazeel M. & Samarakoon, Lalith P., 2009. "Stock market liberalization and return volatility: Evidence from the emerging market of Sri Lanka," Journal of Multinational Financial Management, Elsevier, vol. 19(5), pages 409-423, December.
    3. Wen-Hsiu Kuo & Shih-Ju Chan, 2006. "The Impact of Introduction of QFIIs Trading on the Lead and Volatility Behavior: Evidence for Taiwan Index Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 25-49.
    4. Osamah Al-Khazali & Ali Darrat & Mohsen Saad, 2006. "Intra-regional integration of the GCC stock markets: the role of market liberalization," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1265-1272.
    5. Ramaprasad Bhar & Biljana Nikolova, 2009. "Oil Prices and Equity Returns in the BRIC Countries," The World Economy, Wiley Blackwell, vol. 32(7), pages 1036-1054, 07.
    6. Ben Rejeb, Aymen & Boughrara, Adel, 2013. "Financial liberalization and stock markets efficiency: New evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 17(C), pages 186-208.
    7. Ritab Al-Khouri & Abdulkhader Abdallah, 2012. "Market liberalization and volatility of returns in emerging markets: The case of Qatar Exchange (QSC)," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 5(2), pages 106-115, June.
    8. Duc Khuong Nguyen & Mondher Bellalah, 2007. "Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility," Working Papers 02, Development and Policies Research Center (DEPOCEN), Vietnam.

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