Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes

Aymen Ben Rejeb; Adel Boughrara

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Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes

机译：金融自由化与新兴股票市场效率：结构变化的实证分析

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This article aims to determine the impact of financial liberalization on the informational efficiency in emerging stock markets. For this purpose, we estimate a time-varying parameter model combined with structural change technique for 13 emerging economies from January 1986 to December 2008. Empirical results show a greater efficiency in recent years. They also show that the structural breaks detected in the emerging market predictability indices coincide with the official liberalization dates, and with their alternative events. These findings corroborate those of the related literature regarding how emerging markets react to the adoption of the financial liberalization process.

机译：本文旨在确定金融自由化对新兴股票市场信息效率的影响。为此，我们估计了从1986年1月到2008年12月的13个新兴经济体的时变参数模型和结构变化技术。实证结果表明，近年来效率更高。他们还表明，在新兴市场可预测性指数中发现的结构性突破与官方自由化日期及其替代事件一致。这些发现证实了有关新兴市场对金融自由化进程的反应的相关文献。

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来源
《Macroeconomics and Finance in Emerging Market Economies》 |2014年第2期|230-245|共16页
作者
Aymen Ben Rejeb; Adel Boughrara;
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作者单位

Faculty of Economics and Management of Mahdia, University of Monastir, Tunisia,Laboratory of Management of Innovation and Sustainable Development (LAMIDED), University of Sousse, Tunisia;

Research Laboratory for Economy, Management and Quantitative Finance (LaREMFiQ), University of Sousse, Tunisia;

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原文格式 PDF
正文语种 eng
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关键词
informational efficiency; financial liberalization; emerging markets; Kalman filter; structural breakpoint;

机译：信息效率;金融自由化;新兴市场;卡尔曼滤波器结构断点;

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1. Financial liberalization and stock markets efficiency: New evidence from emerging economies [J] . Aymen Ben Rejeb, Adel Boughrara Emerging markets review . 2013,第deca期

机译：金融自由化和股市效率：新兴经济体的新证据
2. Stock market liberalization, foreign institutional investors, and informational efficiency of stock prices: Evidence from an emerging market [J] . Li Yijie, Liu Jianghui, Wang Haizhi, International journal of finance & economics . 2021,第4期

机译：股票市场自由化，外国机构投资者和股票价格的信息效率：来自新兴市场的证据
3. Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange [J] . Daniel O. Cajueiro, Periklis Gogas, Benjamin M. Tabak International Review of Financial Analysis . 2009,第1a2期

机译：金融市场自由化是否会提高市场效率？雅典证券交易所案
4. Analysis of international contagion in emerging stock markets in terms of global financial crisis [C] . JATIN TRIVEDI, RAMONA BIRAU International Conference on Finance, Accounting and Auditing . 2013

机译：全球金融危机中新兴股市国际蔓延的分析
5. Analysis of the financial liberalization, Asian financial crisis, and the stock market in Taiwan: Evidence with an EGARCH model (China). [D] . Chang, Ching-Chih. 2004

机译：金融自由化，亚洲金融危机和台湾股市分析：采用EGARCH模型的证据（中国）。
6. A Comprehensive Framework for Uncovering Non-Linearity and Chaos in Financial Markets: Empirical Evidence for Four Major Stock Market Indices [O] . Lucia Inglada-Perez 2020

机译：在金融市场上揭开非线性和混乱的全面框架：四个主要股票市场指数的实证证据
7. The degree of financial liberalization and aggregated stock-return volatility in emerging markets [O] . Umutlu, M., Akdeniz L., Altay-Salih, A. 2010

机译：新兴市场的金融自由化程度和总的股票收益波动率

Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes

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