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The Impacts Of The Imf-Supported Structural Reform Program On Asian Stock Market Efficiency

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  • TATSUYOSHI MIYAKOSHI

    (Faculty of Science and Engineering, Hosei University, 3-7-2, Kajino-cho, Koganei, Tokyo 184-8584, Japan)

  • YOSHIHIKO TSUKUDA

    (Graduate School of Economics, Tohoku University, 27-1 Kawauchi, Aoba-ku, Sendai 980-8576, Japan)

  • JUNJI SHIMADA

    (School of Management, Aoyama Gakuin University, 4-4-25 Shibuya, Shibuya-ku, Tokyo 150-8366, Japan)

Abstract

We investigate the impact of the IMF-supported structural reform program in the 1997 Asian crisis on stock market efficiency using the before–after, with–without and event study approaches by applying a time-varying parameter model to eight Asian stock markets. All the supported countries, including Indonesia and Korea, but not Thailand, experienced significantly improved market efficiency after the implementation of the program, implying a positive effect of the program according to the before–after approach. Among the nonsupported countries, China, Taiwan and Malaysia did not improve efficiency (however, Hong Kong and Singapore did) after the start of the crisis, providing some evidence of a positive effect according to the with–without approach. The Thailand, Indonesia and Korean markets showed positive abnormal returns on the days or days following policy announcements in this IMF-supported program, indicating positive effects of the policy according to the event study approach. These findings suggest that the IMF program was successful during the 1997 Asian financial crisis and that it was helpful in resolving the recent global financial crisis.

Suggested Citation

  • Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda & Junji Shimada, 2012. "The Impacts Of The Imf-Supported Structural Reform Program On Asian Stock Market Efficiency," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 57(04), pages 1-21.
    • Handle: RePEc:wsi:serxxx:v:57:y:2012:i:04:n:s0217590812500294
    DOI: 10.1142/S0217590812500294
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    References listed on IDEAS

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    1. Mr. Andrew Berg, 1999. "The Asia Crisis: Causes, Policy Responses, and Outcomes," IMF Working Papers 1999/138, International Monetary Fund.
    2. Valerie Cerra & Sweta Chaman Saxena, 2005. "Did Output Recover from the Asian Crisis?," IMF Staff Papers, Palgrave Macmillan, vol. 52(1), pages 1-23, April.
    3. Mr. Timothy D. Lane & Mrs. Marianne Schulze-Gattas & Mr. Tsidi M Tsikata & Mr. Steven T Phillips & Mr. Atish R. Ghosh & Mr. A. J Hamann, 1999. "IMF-Supported Programs in Indonesia, Korea and Thailand," IMF Occasional Papers 1999/006, International Monetary Fund.
    4. Mohsin S. Khan, 1990. "The Macroeconomic Effects of Fund-Supported Adjustment Programs," IMF Staff Papers, Palgrave Macmillan, vol. 37(2), pages 195-231, June.
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    Cited by:

    1. Armenia ANDRONICEANU & Gurgen OHANYAN, 2016. "Comparative Approach on Education and Healthcare in Romania and Bulgaria as Beneficiaries of the IMF Financial Assistance," REVISTA ADMINISTRATIE SI MANAGEMENT PUBLIC, Faculty of Administration and Public Management, Academy of Economic Studies, Bucharest, Romania, vol. 2016(26), pages 25-48, June.

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    More about this item

    Keywords

    IMF-supported structural reforms; stock market efficiency; Asian crisis; global financial crisis; G14; G15; F33; C40;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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