THE IMPACTS OF THE IMF-SUPPORTED STRUCTURAL REFORM PROGRAM ON ASIAN STOCK MARKET EFFICIENCY

Tatsuyoshi Miyakoshi (), Yoshihiko Tsukuda () and Junji Shimada ()
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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

The Singapore Economic Review (SER), 2012, vol. 57, issue 04, 1-21

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.

Keywords: IMF-supported structural reforms; stock market efficiency; Asian crisis; global financial crisis; G14; G15; F33; C40 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1142/S0217590812500294

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