کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090935 | 1375652 | 2010 | 13 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: The degree of financial liberalization and aggregated stock-return volatility in emerging markets The degree of financial liberalization and aggregated stock-return volatility in emerging markets](/preview/png/5090935.png)
In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.
Journal: Journal of Banking & Finance - Volume 34, Issue 3, March 2010, Pages 509-521