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

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  • Ben Rejeb, Aymen
  • Boughrara, Adel

Abstract

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.

Suggested Citation

  • Ben Rejeb, Aymen & Boughrara, Adel, 2013. "Financial liberalization and stock markets efficiency: New evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 17(C), pages 186-208.
    • Handle: RePEc:eee:ememar:v:17:y:2013:i:c:p:186-208
    DOI: 10.1016/j.ememar.2013.09.001
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    More about this item

    Keywords

    Financial crises; Informational efficiency; Financial liberalization; Emerging markets; Treatment effects model; GARCH;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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