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Stock Market Cycles, Financial Liberalization and Volatility

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Author Info
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)

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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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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
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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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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ossama Mikhail, 2004. "Economic Freedom and The Business Cycle: The Egyptian Experience," Macroeconomics 0402002, EconWPA. [Downloadable!]
    Other versions:
  2. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics. [Downloadable!]
  3. Ossama Mikhail, 2004. "No More Rocking Horses: Trading Business-Cycle Depth for Duration Using an Economy-Specific Characteristic," Macroeconomics 0402026, EconWPA. [Downloadable!]
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