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

被引：37

作者：

Ben Rejeb, Aymen ^{[1
,2
]}

Boughrara, Adel ^{[3
]}

机构：

[1] Univ Monastir, Fac Econ & Management Mahdia, Al Munastir, Tunisia

[2] Univ Sousse, Lab Management Innovat & Sustainable Dev LAMIDED, Sousse, Tunisia

[3] Univ Sousse, Res Lab Econ Management & Quantitat Finance LaREM, Sousse, Tunisia

来源：

EMERGING MARKETS REVIEW | 2013年 / 17卷

关键词：

Financial crises; Informational efficiency; Financial liberalization; Emerging markets; Treatment effects model; GARCH; RANDOM-WALK; CRISES; VARIANCE; TIME; PREDICTABILITY; VOLATILITY; EXPERIENCE; BANKING; PRICES;

D O I：

10.1016/j.ememar.2013.09.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：186 / 208

页数：23