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Stock Market Cycles, Financial Liberalization and Volatility

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  • Sebastian Edwards

    ()
    (University of California, Los Angeles and National Bureau of)

  • Javier Gómez Biscarri

    ()
    (School of Economics and Business Administration, University of Navarra)

  • Fernando Pérez de Gracia

    ()
    (School of Economics and Business Administration, University of Navarra)

Abstract

In this paper we analyze the behavior of stock markets in six emerging countries. More specifically, we describe the bull and bear cycles of four Latin American and two Asian countries, comparing their characteristics during both phases and the degree of concordance of bullish periods. We divide our sample in two subperiods in order to account for differences induced by the financial liberalization processes that these countries went through in the early 1990's. We find that cycles in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed countries whereas Asian countries have become more dissimilar. Concordance of cycles across markets has increased significantly over time, especially for Latin American countries after liberalization.

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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 08/03.

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Length: 55 pages pages
Date of creation: May 2003
Date of revision:
Publication status: Published, Journal of International Money and Finance, 2003, vol. 22(7): pp. 925-955
Handle: RePEc:una:unccee:wp0803

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Web page: http://www.unav.es/facultad/econom

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