Stock markets liberalization affects volatility?

Ioan Alin Nistor, Maria Ciupac-Ulici and Mircea-Cristian Gherman
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Mircea-Cristian Gherman: Tehnical University of Cluj Napoca

Finante - provocarile viitorului (Finance - Challenges of the Future), 2012, vol. 1, issue 14, 45-51

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.

Keywords: stock market liberalization; volatility; GARCH model (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:aio:fpvfcf:v:1:y:2012:i:14:p:45-51

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