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The Effects of De-Regulation on Share-Market Efficiency in the Asia-Pacific

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  • Nicolaas Groenewold
  • Mohamed Ariff

Abstract

Emerging markets have been the fastest growing share markets in the past decade. There are 58 emerging markets. Yet, little is know about their efficiency compared to the vast body of results on efficiency of the developed markets. Little is also known of the way in de-regulation of emerging financial market affects efficiency. This Paper use daily closing values for share-price indexes for ten countries in the Asia-Pacific to assess the effect on market-efficiency of liberalisation of both the domestic capital-market regulation and the in the openness to international financial flows. We find that several measures of market-efficiency are unaffected by de-regulation while measure based on regression and autocorrelation point to greater predictability (both domestically and internationally) after de-regulation. This counter-integration of international capital markets. The domestic phenomenon remains a puzzle, however.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal International Economic Journal.

Volume (Year): 12 (1998)
Issue (Month): 4 ()
Pages: 23-47

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Handle: RePEc:taf:intecj:v:12:y:1998:i:4:p:23-47

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Citations

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Cited by:
  1. Maria Rosa Borges, 2008. "Efficient Market Hypothesis in European Stock Markets," Working Papers Department of Economics 2008/20, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  2. 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.
  3. Maria Rosa Borges, 2011. "Random walk tests for the Lisbon stock market," Applied Economics, Taylor & Francis Journals, vol. 43(5), pages 631-639.
  4. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 159, School of Economics and Finance, Queensland University of Technology.
  5. Mlambo, Chipo & Biekpe, Nicholas, 2007. "The efficient market hypothesis: Evidence from ten African stock markets," MPRA Paper 25968, University Library of Munich, Germany, revised 2007.

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