Financial Liberalisation and Stock Market Volatility: The Case of Indonesia
AbstractThis paper examines the relationship between financial liberalisation 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 InfoPaper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2009_11.
Date of creation: Sep 2009
Date of revision: Sep 2009
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financial liberalisation; stock market volatility; Indonesia; Asian crisis.;
Other versions of this item:
- Gregory James & Michail Karoglou, 2010. "Financial liberalization and stock market volatility: the case of Indonesia," Applied Financial Economics, Taylor & Francis Journals, vol. 20(6), pages 477-486.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
- NEP-FMK-2009-10-24 (Financial Markets)
- NEP-RMG-2009-10-24 (Risk Management)
- NEP-SEA-2009-10-24 (South East Asia)
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