Volatility of returns and financial liberalization: New evidence

Research output: Contribution to journalArticle

Abstract

The main objective of this paper is to reinvestigate the relationship between liberalization and returns volatility by considering different level of economic fundamentals and level of openness. The real impact of financial liberalization is expected to vary across countries with different macroeconomic fundamentals and level of liberalization. This study is different from previous studies because we do not impose priori linear restriction on the estimation. Employing endogenous threshold estimation methods, our finding shows that the relationship between liberalization and returns volatility is nonlinear and the negative impact of liberalization can be annulled for countries with strong and stable government.

Original languageEnglish
Pages (from-to)101-106
Number of pages6
JournalJurnal Ekonomi Malaysia
Volume46
Issue number1
Publication statusPublished - 2012

Fingerprint

Liberalization
Financial liberalization
Return volatility
Economic fundamentals
Openness
Macroeconomic fundamentals
Government
Threshold estimation
Linear restrictions

Keywords

  • Financial liberalization
  • Non-linear
  • Return volatility
  • Threshold regression

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Cite this

Volatility of returns and financial liberalization : New evidence. / Sarmidi, Tamat; Mohd Salleh, Norlida Hanim; Law, Siong Hook.

In: Jurnal Ekonomi Malaysia, Vol. 46, No. 1, 2012, p. 101-106.

Research output: Contribution to journalArticle

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