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Stock markets liberalization affects volatility?

Author

Listed:
  • Ioan Alin NISTOR
  • Maria-Lenuta CIUPAC-ULICI

    (“Babes-Bolyai” University, Cluj Napoca)

  • Mircea-Cristian GHERMAN

    (Tehnical University of Cluj Napoca)

Abstract

Regarding the impact of liberalization, the results show that, in general, market opening is accompanied by a significant increase in market volatility. In particular, volatility tends to decrease due to large capital inflows and domestic growth.The study analyzes the impact of stock market liberalization on volatility in six emerging stock markets by using GARCH methodology. Theory on the effects of financial liberalization on volatility has been ambiguous, and empirical work has yielded conflicting results. Our findings imply that the impact of stock market liberalization is to raise the volatility in three stock markets and to decrease in two equity markets.

Suggested Citation

  • Ioan Alin NISTOR & Maria-Lenuta CIUPAC-ULICI & Mircea-Cristian GHERMAN, 2012. "Stock markets liberalization affects volatility?," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(14), pages 45-51, December.
  • Handle: RePEc:aio:fpvfcf:v:1:y:2012:i:14:p:45-51
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    More about this item

    Keywords

    stock market liberalization; volatility; GARCH model;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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