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The Impact Of Stock Market Liberalization On The Efficiency Of Emerging Stock Markets
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Book Synopsis The Impact of Stock Market Liberalization on the Efficiency of Emerging Stock Markets by : Sonali Jain-Chandra
Download or read book The Impact of Stock Market Liberalization on the Efficiency of Emerging Stock Markets written by Sonali Jain-Chandra and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last two decades, many emerging markets have embarked on a course of economic reform, including stock market liberalization. This paper addresses the question of whether these markets have become more informationally efficient in the years following liberalization. We find that emerging stock markets become more efficient following liberalization. Additionally, using a panel data set on sixteen liberalizing countries and various measures of liquidity, we show that liberalization leads to enhanced liquidity after controlling for size and other factors. Furthermore, this paper addresses the question whether the increase in efficiency could be the result of an increase in liquidity. This paper concludes that an increase in liquidity leads to a decrease in market inefficiency. This confirms the intuition that enhanced liquidity might render emerging stock markets more efficient.
Author :Mohamed El Hedi Arouri Publisher :Springer Science & Business Media ISBN 13 :3790823899 Total Pages :214 pages Book Rating :4.7/5 (98 download)
Book Synopsis The Dynamics of Emerging Stock Markets by : Mohamed El Hedi Arouri
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Book Synopsis Stock Market Liberalization and Informational Efficiency in Emerging Markets by : Duc Khuong Nguyen
Download or read book Stock Market Liberalization and Informational Efficiency in Emerging Markets written by Duc Khuong Nguyen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: On testing the impact of stock market liberalization on weak form market efficiency in emerging market countries, previous studies often provide divergent results. This paper revisits this empirical literature by using a time-varying parameter model which enables us to handle the gradual effects induced by stock market liberalization on informational efficiency. The model also corrects for both the serial correlation in return structure and volatility risk premium of local markets. First, we show that while some markets tend to converge to more efficient markets in the aftermath of stock market liberalization, others moved away from efficient state. For markets which were already efficient before financial liberalization implementations, the informational efficiency appears to be more apparent in recent years. Second, although we document significant effects of stock market liberalization on efficiency after controlling for economic and political perspectives, the direction of effects remains inconclusive because empirical results tend to be country-specific. Finally, it is worth noting that conditional stock market volatility has no significant impact on the expected returns.
Book Synopsis The Dynamics of Emerging Stock Markets by : Mohamed El Hedi Arouri
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by . This book was released on 2010-04-18 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Stock Price Spillovers and Market Liberalization by : Sang W. Kim
Download or read book International Stock Price Spillovers and Market Liberalization written by Sang W. Kim and published by . This book was released on 1995 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Augusto de la Torre, Sergio L. Schmukler, Juan Carlos Gozzi Publisher :World Bank Publications ISBN 13 : Total Pages :38 pages Book Rating :4./5 ( download)
Book Synopsis Stock market development under globalization: whither the gains from reforms? by : Augusto de la Torre, Sergio L. Schmukler, Juan Carlos Gozzi
Download or read book Stock market development under globalization: whither the gains from reforms? written by Augusto de la Torre, Sergio L. Schmukler, Juan Carlos Gozzi and published by World Bank Publications. This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Over the past decades, many countries have implemented significant reforms to foster domestic capital market development. These reforms included stock market liberalization, privatization programs, and the establishment of regulatory and supervisory frameworks. Despite the intense reform efforts, the performance of capital markets in several countries has been disappointing. To study whether reforms have had the intended effects on capital markets, the authors analyze the impact of six capital market reforms on domestic stock market development and internationalization using event studies. They find that reforms tend to be followed by significant increases in domestic market capitalization, trading, and capital raising. Reforms are also followed by an increase in the share of activity in international equity markets, with potential negative spillover effects on domestic markets.
Book Synopsis An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices by : Matthew R. Morey
Download or read book An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices written by Matthew R. Morey and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis in finance suggests that as equity markets are liberalized and made more open to the public, equity prices should reflect the increased availability of information and be more efficiently priced. In this paper, we examine whether emerging market equity prices have become more efficient after financial liberalization. Using two sets of financial liberalization dates, a battery of econometric tests, and data from sixteen countries and three composite portfolios, we find that in spite of theory suggesting the opposite, liberalization does not seem to have improved the efficiency of emerging markets. In fact, most of our statistical tests indicate that the markets were already efficient before the actual liberalization.
Book Synopsis Institutional Reform in Emerging Securities Markets by : Robert Pardy
Download or read book Institutional Reform in Emerging Securities Markets written by Robert Pardy and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developing a securities market is a long-term, multifaceted task that requires extensive institutional development, for which there are few shortcuts. And many of the changes required have both positive and negative ramifications in other parts of the financial system and the economy.
Book Synopsis Domestic Capital Market Reform and Access to Global Finance by : Peter Blair Henry
Download or read book Domestic Capital Market Reform and Access to Global Finance written by Peter Blair Henry and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Contrary to the predictions of standard economic theory, capital market liberalization has been a mixed blessing for many countries. Liberalization of debt inflows exposes economies to the risk of crises stemming from sudden changes in investor sentiment. Equity market liberalizations, on the other hand, have promoted growth in almost every liberalizing country. Yet equity market liberalizations have not had as strong an effect as might be expected. To convince outsiders to invest, countries must put in place laws and supporting institutions to protect the rights of minority shareholders. Countries with such protections tend to have larger, more efficient, and more stable stock markets than those that do not"--NBER website
Book Synopsis Trade Openness and the Weak-Form Efficiency of Emerging Stock Markets by : Kian-Ping Lim
Download or read book Trade Openness and the Weak-Form Efficiency of Emerging Stock Markets written by Kian-Ping Lim and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92] develop a theoretical model that predicts financial opening without trade reform does not lead to higher weak-form efficiency. The present paper brings their proposition to the data of 23 emerging stock markets. In general, the key results from fixed effects panel regressions support their prediction that trade liberalization, rather than financial openness, matters the most for informational efficiency. However, our empirical findings are not consistent with their postulated mechanisms through which it occurs. Firstly, it is not the official removal of non-tariff barriers that leads to higher stock price informativeness. What really matters for stock market investors is the actual level of economy integration in the reforming country with the world. Secondly, it is not the actual gain in productive efficiency in the real sector that leads to higher weak-form market efficiency. Instead, stock prices incorporate information about the expected gain from trade openness, such as higher future profitability or greater future productivity growth.
Book Synopsis Stock Markets in Developing Countries by : Mansoor Dailami
Download or read book Stock Markets in Developing Countries written by Mansoor Dailami and published by World Bank Publications. This book was released on 1990 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: With foreign capital funds dwindling, governments in many developing countries-- with increased Bank support-- are looking to develop capital markets to provide risk capital for the corporate sector. But first, some basic issues must be empirically explored.
Book Synopsis The Impacts of Stock Market Liberalization in Emerging Markets by : Hyunchul Chung
Download or read book The Impacts of Stock Market Liberalization in Emerging Markets written by Hyunchul Chung and published by . This book was released on 2001 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Our test results using country indices show statistically and economically significant revaluation effects, and increases in the cost of capital. While the stock market volatility increases, its correlation with world market return does not change after stock market liberalization. More important than these market-level findings, we report significantly different impacts of stock market liberalization, based on firm size, which is used as a proxy for foreign investors' demand. Large firms tend to exhibit large revaluation effects, insignificant change in the cost of capital, small increases in volatility, and increases in correlation with the world market from liberalization. Small firms show small revaluation effects, increases in the cost of capital, large increases in volatility and decreases in correlation with world market returns after liberalization. Our results have important implications for international investors seeking to manage their global exposure as well as for policy makers considering capital market liberalization." --
Book Synopsis institutional reform in emerging securities markets by :
Download or read book institutional reform in emerging securities markets written by and published by World Bank Publications. This book was released on with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Studies on the Behavior of Equity Markets by : Achla Marathe
Download or read book Studies on the Behavior of Equity Markets written by Achla Marathe and published by Taylor & Francis. This book was released on 1998 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a practical understanding of issues surrounding the efficiency, volatility, and integration of equity markets and their interaction with special applications to developed and developing countries. Investigates whether the opening of emerging markets to foreign investors is facilitating the efficiency and integration of these markets with global markets, and performs a case study on the equity market in Korea to understand the extent of the impact of equity market liberalization on domestic market fundamentals. Contains chapters on predicting stock returns using components of output, recessionary and non-recessionary markets, stock market bubbles, and macroeconomic determinants of emerging stock markets. Annotation copyrighted by Book News, Inc., Portland, OR
Book Synopsis Emerging Capital Markets and Globalization by : Augusto de la Torre
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Book Synopsis Stock Market Liberalization and the Cost of Capital in Emerging Markets by : Harjoat Singh Bhamra
Download or read book Stock Market Liberalization and the Cost of Capital in Emerging Markets written by Harjoat Singh Bhamra and published by . This book was released on 2009 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study how stock market liberalization changes an emerging market's cost of capital.I do so in a Lucas economy with two dividend trees. One dividend tree represents the emerging market's dividends while the other tree represents the dividends paid by all other countries. I solve for equilibrium asset prices in two versions of the economy. In the first version, stock markets are partially liberalized, because the emerging market's residents cannot invest in foreign stock markets. All other agents are unconstrained. In the second version, stock markets are fully liberalized, because there are no investment constraints. I show that moving from partial to full liberalization causes an increase in the emerging market's cost of capital and risk premium, despite better international risk sharing.
Book Synopsis An Empirical Analysis of the Weak-form Efficiency of Stock Markets by :
Download or read book An Empirical Analysis of the Weak-form Efficiency of Stock Markets written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.
