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An Empirical Examination Of Financial Liberalization And The Efficiency Of Emerging Market Stock Prices

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  1. Kanak Patel & Ricardo Pereira & Kirill Zavodov, 2009. "Mean-Reversion in REITs Discount to NAV & Risk Premium," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 229-247, October.
  2. Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 795-818, December.
  3. David de Villiers & Natalya Apopo & Andrew Phiri & David McMillan, 2020. "Unobserved structural shifts and asymmetries in the random walk model for stock returns in African frontier markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1769348-176, January.
  4. Alam, Md. Mahmudul & Uddi, Gazi Salah, 2019. "Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries," SocArXiv 5fket, Center for Open Science.
  5. Bekaert, G. & Harvey, C. R. & Lumsdaine, R. L., 2002. "The dynamics of emerging market equity flows," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 295-350, June.
  6. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  7. Wang, Juan & Zhang, Dongxiang & Zhang, Jian, 2015. "Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 157-164.
  8. Cesar Rufino, 2013. "Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 50(1), pages 57-82, June.
  9. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
  10. Erdas Mehmet Levent, 2019. "Validity of Weak-Form Market Efficiency in Central and Eastern European Countries (CEECs): Evidence from Linear and Nonlinear Unit Root Tests," Review of Economic Perspectives, Sciendo, vol. 19(4), pages 399-428, December.
  11. Parthajit Kayal & S. Maheswaran, 2018. "Speed of Price Adjustment towards Market Efficiency: Evidence from Emerging Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 112-135, April.
  12. Abullah M. Noman & Minhaz U. Ahmed, 2008. "Efficiency of the foreign exchange markets in South Asian Countries," AIUB Bus Econ Working Paper Series AIUB-BUS-ECON-2008-18, American International University-Bangladesh (AIUB), Office of Research and Publications (ORP), revised Jun 2008.
  13. Groenewold, Nicolaas & Tang, Sam Hak Kan & Wu, Yanrui, 2003. "The efficiency of the Chinese stock market and the role of the banks," Journal of Asian Economics, Elsevier, vol. 14(4), pages 593-609, August.
  14. Mukta Kanvinde & Muneer Shaik, 2020. "Are BRICS Stock Market Indices Mean Reverting? Evidence Based on Expected Lifetime Range Ratio," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(2), pages 169-186, September.
  15. Lee-Rong Wang & Chung-Hua Shen & Ching-Yang Liang, 2008. "Financial Liberalization under the WTO and Its Relationship with the Macro Economy," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 315-345, National Bureau of Economic Research, Inc.
  16. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  17. Tri Minh Nguyen, 2017. "The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market," International Journal of Marketing Studies, Canadian Center of Science and Education, vol. 9(1), pages 109-118, February.
  18. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
  19. Laopodis, Nikiforos T., 2004. "Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange," Global Finance Journal, Elsevier, vol. 15(2), pages 103-123, August.
  20. Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.
  21. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, University Library of Munich, Germany.
  22. Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurrum S. & Khan, Maaz, 2020. "On the efficiency of foreign exchange markets in times of the COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
  23. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.
  24. Md. Mahmudul Alam & Kazi Ashraful Alam & Md. Gazi Salah Uddin, 2017. "Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical Test of Market Efficiency," Papers 1702.01354, arXiv.org.
  25. Aymen Ben Rejeb & Adel Boughrara, 2014. "Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 230-245, September.
  26. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 737-743.
  27. Buguk, Cumhur & Wade Brorsen, B., 2003. "Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 579-590.
  28. Alam, Md. Mahmudul & Akbar, Chowdhury Shahed, 2019. "Rationality of the Capital Market: Capitalistic System vs. Islamic System," SocArXiv 83ekv, Center for Open Science.
  29. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology.
  30. Vieito, João Paulo & Wong, Wing-Keung & Chow, Sheung Chi, 2016. "Stock Market Liberalizations and Efficiency: The Case of Latin America," MPRA Paper 68949, University Library of Munich, Germany.
  31. Emmanouil Mavrakis & Christos Alexakis, 2018. "Statistical Arbitrage Strategies under Different Market Conditions: The Case of the Greek Banking Sector," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2), pages 159-185, August.
  32. Paresh Narayan & Arti Prasad, 2007. "Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-6.
  33. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
  34. Muneer Shaik & S. Maheswaran, 2017. "Market Efficiency of ASEAN Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(2), pages 109-122, February.
  35. Durusu-Ciftci, Dilek & Ispir, M. Serdar & Kok, Dundar, 2019. "Do stock markets follow a random walk? New evidence for an old question," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 165-175.
  36. Lucey, Brian M. & Zhang, QiYu, 2010. "Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world," Emerging Markets Review, Elsevier, vol. 11(1), pages 62-78, March.
  37. Tülin Anlas & Cengiz Toraman, 2016. "Analysing the Efficiency of the Turkish Stock Market with Multiple Structural Breaks," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 6(12), pages 721-740, December.
  38. Yen-Hsien Lee, 2010. "The Impact Of Deregulation On Stock Market Efficiency," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(2), pages 165-176.
  39. Li, Qinyang & Liu, Xiangqiang & Chen, Jing & Wang, Huaixin, 2022. "Does stock market liberalization reduce stock price synchronicity? —Evidence from the Shanghai-Hong Kong Stock Connect," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 25-38.
  40. Graham Smith & Aneta Dyakova, 2016. "The Relative Predictability of Stock Markets in the Americas," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 131-142, April.
  41. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
  42. Akarim, Yasemin Deniz & Sevim, Serafettin, 2013. "The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets," Economic Modelling, Elsevier, vol. 31(C), pages 453-459.
  43. Yoshihiko Tsukuda & Tatsuyoshi Miyakoshi & Junji Shimada, 2005. "Dynamic Efficiency in the East European Emerging Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 159-179, June.
  44. Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
  45. Ghassan, Hassan & Abdullah, Abdelgader, 2009. "Does the entry of foreign investors influence the volatility of Doha Securities Market?," MPRA Paper 95620, University Library of Munich, Germany, revised 2010.
  46. Dropsy V., 2001. "Emerging Stock Market Liberalization And Currency Crises," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 109-109, January -.
  47. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
  48. Mitchell Ratner & Ricardo P. C. Leal, 2005. "Sector Integration and the Benefits of Global Diversification," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 237-269, September.
  49. Alexakis, Christos, 2010. "Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 389-403, October.
  50. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
  51. Pinar OKAN GOKTEN & Furkan BASER & Soner GOKTEN, 2017. "Using fuzzy c-means clustering algorithm in financial health scoring," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 15(147), pages 385-385.
  52. Navaz Naghavi & Wee-Yeap Lau, 2014. "Exploring the nexus between financial openness and informational efficiency -- does the quality of institution matter?," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 674-685, March.
  53. 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.
  54. repec:ebl:ecbull:v:3:y:2007:i:34:p:1-6 is not listed on IDEAS
  55. Lee, Chien-Chiang & Lee, Jun-De & Lee, Chi-Chuan, 2010. "Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks," Japan and the World Economy, Elsevier, vol. 22(1), pages 49-58, January.
  56. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
  57. Gábor Bóta & Mihály Ormos, 2015. "Development of stock market pricing in Central and Eastern Europe through two decades after the transition," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 685-708, November.
  58. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
  59. Narayan, Paresh Kumar, 2006. "The behaviour of US stock prices: Evidence from a threshold autoregressive model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 103-108.
  60. Rico Belda, Paz, 2013. "No linealidad y asimetría en el proceso generador del Índice Ibex35/Nonlinearity and Asymmetry in the Generator Process of Ibex35 Index," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 31, pages 555-576, Septiembr.
  61. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
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