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La dynamique de la volatilité boursière autour de l'ouverture des marchés de capitaux

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  • Duc Khuong Nguyen

Abstract

We employ a bivariate AR(1)-GARCH(1,1) model of stock-market returns to empirically investigate the effects of financial liberalization on stock-market volatility in selected emerging countries. The main advantage of such a model is that it takes account of the ongoing integration of emerging economies into the world financial system. Our results suggest that stock-market volatility in selected emerging countries did not increase significantly over the post-liberalization period even when control variables are introduced. In addition, some emerging markets registered a marginal decrease in volatility when they experienced a massive rise in inflows of U.S. capital. The results also point to the existence of long-run relationships between financial liberalization and emerging-market volatility.

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  • Duc Khuong Nguyen, 2010. "La dynamique de la volatilité boursière autour de l'ouverture des marchés de capitaux," Economie & Prévision, La Documentation Française, vol. 0(1), pages 65-82.
    • Handle: RePEc:cai:ecoldc:ecop_192_0065
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    2. Alhaj-Yaseen, Yaseen S. & Rao, Xi & Jin, Yinghua, 2017. "Market liberalization and the extent of informed trading: Evidence from China’s equity markets," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 78-99.

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