期刊名称:Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN:1583-3712
出版年度:2012
卷号:1
期号:14
页码:45-51
出版社:University of Craiova, Faculty of Economics and Business Administration
摘要:Regarding the impact of liberalization, the results show that, in general, market opening is accompanied by a significant increase in market volatility. In particular, volatility tends to decrease due to large capital inflows and domestic growth.The study analyzes the impact of stock market liberalization on volatility in six emerging stock markets by using GARCH methodology. Theory on the effects of financial liberalization on volatility has been ambiguous, and empirical work has yielded conflicting results. Our findings imply that the impact of stock market liberalization is to raise the volatility in three stock markets and to decrease in two equity markets.
关键词:stock market liberalization; volatility; GARCH model