Volatility of returns and financial liberalization: new evidence
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 macroecon...
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Penerbit Universiti Kebangsaan Malaysia
2012
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my.upm.eprints.155262016-02-02T04:00:36Z http://psasir.upm.edu.my/id/eprint/15526/ Volatility of returns and financial liberalization: new evidence Sarmidi, Tamat Mohd Salleh, Norlida Hanim Law, Siong Hook 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. Penerbit Universiti Kebangsaan Malaysia 2012 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/15526/1/Volatility%20of%20returns%20and%20financial%20liberalization%20new%20evidence.pdf Sarmidi, Tamat and Mohd Salleh, Norlida Hanim and Law, Siong Hook (2012) Volatility of returns and financial liberalization: new evidence. Jurnal Ekonomi Malaysia, 46 (1). pp. 101-106. ISSN 0126-1962 http://www.ukm.my/fep/jem/content/2012.html |
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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. |
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Article |
author |
Sarmidi, Tamat Mohd Salleh, Norlida Hanim Law, Siong Hook |
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Sarmidi, Tamat Mohd Salleh, Norlida Hanim Law, Siong Hook Volatility of returns and financial liberalization: new evidence |
author_facet |
Sarmidi, Tamat Mohd Salleh, Norlida Hanim Law, Siong Hook |
author_sort |
Sarmidi, Tamat |
title |
Volatility of returns and financial liberalization: new evidence |
title_short |
Volatility of returns and financial liberalization: new evidence |
title_full |
Volatility of returns and financial liberalization: new evidence |
title_fullStr |
Volatility of returns and financial liberalization: new evidence |
title_full_unstemmed |
Volatility of returns and financial liberalization: new evidence |
title_sort |
volatility of returns and financial liberalization: new evidence |
publisher |
Penerbit Universiti Kebangsaan Malaysia |
publishDate |
2012 |
url |
http://psasir.upm.edu.my/id/eprint/15526/1/Volatility%20of%20returns%20and%20financial%20liberalization%20new%20evidence.pdf http://psasir.upm.edu.my/id/eprint/15526/ http://www.ukm.my/fep/jem/content/2012.html |
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