Financial liberalization and stock market volatility: the case of Indonesia
AbstractThis article examines the relationship between financial liberalization and stock market volatility in Indonesia. By looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the 'official' opening of the stock market to foreign participation; (ii) a significant increase in volatility in the year before market opening following reforms that eased entry requirements and the issuance of brokerage licenses and (iii) a significant increase in volatility at the time of the Asian crisis followed by a significant decrease in the second and sixth years after the crisis.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 20 (2010)
Issue (Month): 6 ()
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Other versions of this item:
- Gregory James & Michail Karoglou, 2009. "Financial Liberalisation and Stock Market Volatility: The Case of Indonesia," Discussion Paper Series 2009_11, Department of Economics, Loughborough University, revised Sep 2009.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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