English, Article, Journal or magazine article edition: Financial Liberalisation and Breaks in Stock Market Volatility: Evidence from East Asia Panicos Demetriades; Michaeil Karoglou; Siong Hook Law

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Bookmark: http://trove.nla.gov.au/version/34627
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Financial Liberalisation and Breaks in Stock Market Volatility: Evidence from East Asia
Author
  • Panicos Demetriades
  • Michaeil Karoglou
  • Siong Hook Law
Physical Description
  • preprint
Notes
  • 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
  • RePEc:mmf:mmfc06:162
Language
  • English
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