Financial liberalization and stock market efficiency: an empirical examination of nine emerging market countries

Kawakatsu, Hiroyuki; Morey, Matthew R.

doi:10.1016/s1042-444x(99)00007-9

Cited by 49 publications

(23 citation statements)

References 14 publications

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“…However, investor interest in emerging markets appears to have increased significantly over the last few years. As noted by Kawakatsu and Morey (1999), the result of the financial liberalization had been quite dramatic as in 1985, the flow of foreign portfolio investment into emerging markets was only US$138 million. However, by 1993, the Dow had increased to a remarkable US$45 billion.…”

Section: Introductionmentioning

confidence: 99%

Financial Liberalization and Stock Markets Integration for Asean-5 Countries

Phuan¹,

Lim²,

Ooi³

2009

IBR

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This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1) stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based on the progress of financial liberalization. By using Johansen and Juselius multivariate cointegration procedures, Granger-causality tests and variances decomposition analysis, the results indicate no long-run relationship during Singapore stock market liberalization in the first period. However, long-run relationship established between ASEAN-5 stock markets in the second period when Thailand, Malaysia and Indonesia have liberalized their stock markets and the third period following the Philippines liberalization. The long run integration relationships and the short-run causality relationships among ASEAN-5 markets have both increased after the financial liberalization. Thailand, Malaysia, Indonesia and the Philippines markets have received increased influences from other stock markets in the progress of financial liberalization whereas Singapore remains unaffected by the others. Stock markets that liberalize earlier will have greater influence on other stock markets.

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Section: Introductionmentioning

confidence: 99%

Financial Liberalization and Stock Markets Integration for Asean-5 Countries

Phuan¹,

Lim²,

Ooi³

2009

IBR

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“…To gain the beneits of liberalization, from the second half of the 80s onwards, countries with emerging economies started modifying their laws and allowed foreigners into their markets. The changes of inancial liberalization in these emerging economies have been great and led researchers' interest to the area [37].…”

Section: Emerging Economies and Liberalizationmentioning

confidence: 99%

“…[38]. According to the EMH, the market's eiciency increases as it becomes more liberalized because liberalization means the market will be made open to the public [37]. Although theoretically true, the efect of liberalization on the eiciency of emerging country's stock market should be further investigated.…”

Section: Emerging Economies and Liberalizationmentioning

confidence: 99%

Testing the Information Efficiency in Emerging Markets

Aktan¹,

Şahin²,

Küçükkaplan³

2018

Financial Management From an Emerging Market Perspective

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One of the most common issues for investors regarding markets nowadays is to what extent these markets are eicient as all of them aim to increase their gains and beat the market as much as possible. This competition among them will inevitably result in markets becoming eicient and, therefore, prices quickly adjusting to the new coming information. Eventually, investors will most probably receive only a sum that makes up for the risk they took and the time value of money they invested. This is where market eiciency, its theory and forms come into question. There have been many researches conducted assessing the eiciency of diferent markets located throughout the world. However, there are still a lot of gaps in research involving emerging economies which needs to be completed for the sake of investment decisions. Therefore, the purpose of this chapter is to is to show how information eiciency relates to the stock markets of emerging economies, how it implicates investors, analyze the stock prices of 24 emerging economies to look for their weak form eiciency, and to put forward a set of commonalities found in results of literature relating to emerging market information eiciency.

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“…En cuanto al interrogante de si los mercados financieros son o no eficientes, se verifica que el 60% de los trabajos consultados niegan la eficiencia del mercado, el 35% no rechazan la hipótesis del mercado eficiente, mientras que en el restante 5% se encuentra mejora de la eficacia concentrada principalmente en las economías asiáti-cas a finales de la década de los 90, mejora que es motivada por varios factores, como son: las reformas económicas (Kawakatsu y Morey, 1999); la mayor velocidad en el flujo de la información posibilitado por la Internet (Lee, Park, Jo, Yang y Moon, 2009); la introducción al mercado de productos financieros como las opciones y los futuros (Mazouz y Bowe, 2006), y las correcciones de asimetrías del mercado en periodos poscrisis económicas (Lim, Brooks y Kim, 2008).…”

Section: Revisión De La Literaturaunclassified

Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos

Duarte

Pérez-Íñigo

2014

estud.gerenc.

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El presente trabajo tiene como objetivo comprobar la eficiencia dÃ©bil en los 5 principales mercados bursÃ¡tiles de LatinoamÃ©rica, usando 2 enfoques; primero se evalÃºa la normalidad de las series mediante las estadÃsticas bÃ¡sicas, el test Jarque-Bera y la prueba de bondad de ajuste de la chi-cuadrado; en segundo lugar, se contrasta la caminata aleatoria (RW) de los activos en sus versiones RW1 (test Rachas y test BDS), RW2 (filtros de Alexander con algoritmos genÃ©ticos) y RW3 (Test Ljung-Box e Intervalo de Bartlett); encontrando que las 5 principales economÃas latinoamericanas han experimentado un cambio de no eficiencia a eficiencia en los Ãºltimos aÃ±os de acuerdo con el siguiente orden cronolÃ³gico:MÃ©xico(2007), Brasil (2008), Colombia (2008), Chile (2011) y PerÃº (2012).

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Financial liberalization and stock market efficiency: an empirical examination of nine emerging market countries

Cited by 49 publications

References 14 publications

Financial Liberalization and Stock Markets Integration for Asean-5 Countries

Financial Liberalization and Stock Markets Integration for Asean-5 Countries

Testing the Information Efficiency in Emerging Markets

Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos

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