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Volatility of Returns and Financial Liberalization: New Evidence

Jurnal Ekonomi Malaysia

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Title Volatility of Returns and Financial Liberalization: New Evidence
 
Creator Sarmidi, Tamat
Mohd Salleh, Norlida Hanim
Law, Siong Hook
 
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Description ABSTRACTThe main objective of this paper is to reinvestigate the relationship between liberalization and returns volatility byconsidering different level of economic fundamentals and level of openness. The real impact of financial liberalizationis 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.Keywords: Financial liberalization; non-linear; return volatility; threshold regressionABSTRAKObjektif utama kajian ini adalah untuk menyelidik hubungan antara liberalisasi dan kemeruapan pulangan dengan mengambil kira faktor asas makroekonomi dan tahap liberalisasi kewangan yang berbeza. Impak liberalisasi kewangan ke atas kemeruapan dijangka bergantung kepada faktor asas makroekonomi dan tahap liberalisasi. Kajian ini adalah berbeza daripada kajian sebelum ini kerana kami tidak meletakkan syarat monotonik pada penganggar. Menggunakan kaedah penganggaran ambang ufuk endogen, dapatan kajian menunjukkan bahawa hubungan antara liberalisasi dan volatility pulangan adalah takmonotonik dan kesan negatif liberalisasi boleh dimansuhkan bagi negara yang mempunyai kerajaan yang kuat dan stabil.Kata kunci: Liberalisasi kewangan; kemeruapan pulangan; tak-linear; regrasi ambang ufuk
 
Publisher Universiti Kebangsaan Malaysia
 
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Date 2012-10-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
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Format application/pdf
 
Identifier http://ejournal.ukm.my/jem/article/view/1357
 
Source Jurnal Ekonomi Malaysia; Vol 46, No 1 (2012): Jurnal Ekonomi Malaysia
0126-1962
 
Language eng
 
Relation http://ejournal.ukm.my/jem/article/view/1357/1216
 
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