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The Effects Of De-Regulation On Share-Market Efficiency In The Asia-Pacific

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Author Info
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 known about their efficiency compared to the vast body of results on efficiency of the developed markets. Little is also known of the way in which de-regulation of emerging financial markets affects efficiency. This paper uses 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 regulations and in the openness to international financial flows. We find that several measures of market-efficiency are unaffected by de-regulation while measures based on regression and autocorrelation point to greater predictability (both domestically and internationally) after de-regulation. This counter-intuitive finding for the international case may be explained by the greater integration of international capital markets. The domestic phenomenon remains a puzzle, however.

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Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 12 (1998)
Issue (Month): 4 (December)
Pages: 23-47
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Handle: RePEc:taf:intecj:v:12:y:1998:i:4:p:23-47

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  1. 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 159, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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