IDEAS home Printed from https://ideas.repec.org/a/cai/ecoldc/ecop_192_0065.html

La dynamique de la volatilité boursière autour de l'ouverture des marchés de capitaux

Author

Listed:
  • Duc Khuong Nguyen

Abstract

We employ a bivariate AR(1)-GARCH(1,1) model of stock-market returns to empirically investigate the effects of financial liberalization on stock-market volatility in selected emerging countries. The main advantage of such a model is that it takes account of the ongoing integration of emerging economies into the world financial system. Our results suggest that stock-market volatility in selected emerging countries did not increase significantly over the post-liberalization period even when control variables are introduced. In addition, some emerging markets registered a marginal decrease in volatility when they experienced a massive rise in inflows of U.S. capital. The results also point to the existence of long-run relationships between financial liberalization and emerging-market volatility.

Suggested Citation

  • Duc Khuong Nguyen, 2010. "La dynamique de la volatilité boursière autour de l'ouverture des marchés de capitaux," Economie & Prévision, La Documentation Française, vol. 0(1), pages 65-82.
    • Handle: RePEc:cai:ecoldc:ecop_192_0065
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOP_192_0065
    Download Restriction: free
    File URL: http://www.cairn.info/revue-economie-et-prevision-1-2010-1-page-65.htm
    Download Restriction: free
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aymen Ben Rejeb & Adel Boughrara, 2014. "The relationship between financial liberalization and stock market volatility: the mediating role of financial crises," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 17(1), pages 46-70, March.
    2. Alhaj-Yaseen, Yaseen S. & Rao, Xi & Jin, Yinghua, 2017. "Market liberalization and the extent of informed trading: Evidence from China’s equity markets," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 78-99.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:ecoldc:ecop_192_0065. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-economie-et-prevision.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.