Financial Liberalisation and Breaks in Stock Market Volatility: Evidence from East Asia

Panicos Demetriades, Michail Karoglou and Siong Hook Law

No 162, Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group

Abstract: This paper examines the short and medium term impact of financial reforms on stock market volatility in five East Asian emerging markets. Several newly proposed tests are employed to identify and verify the number and timing of structural breaks in the variance dynamics. The detected breakdates do not correspond to official liberalisation dates. The magnitude and direction of the change in volatility is estimated using parametric and non-parametric techniques. Our findings suggest that by taking into account the possibility of multiple breaks, a richer evolution of volatility is obtained than by focusing on official liberalisation dates. We also show that focussing on official liberalisation dates results in inaccurate inference

Date: 2007-02-02
New Economics Papers: this item is included in nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:mmf:mmfc06:162

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