Financial liberalization and stock markets efficiency: New evidence from emerging economies

Aymen Ben Rejeb () and Adel Boughrara

Emerging Markets Review, 2013, vol. 17, issue C, 186-208

Abstract: This paper aims to assess the impact of financial liberalization on the degree of informational efficiency in emerging stock markets while considering three types of financial crises, i.e. banking, currency and twin crises. To this end, a treatment effects model with time-varying parameters is estimated for 13 emerging economies from January 1986 to December 2008. Empirical results show that there is a greater efficiency in recent years and that financial liberalization not only improves the degree of efficiency but also reduces the probability of financial crises. They also suggest that improving efficiency depends upon several internal characteristics.

Keywords: Financial crises; Informational efficiency; Financial liberalization; Emerging markets; Treatment effects model; GARCH (search for similar items in EconPapers)
JEL-codes: C21 G01 G14 G15 G18 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:17:y:2013:i:c:p:186-208

DOI: 10.1016/j.ememar.2013.09.001

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