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Estimating the Dynamic Impact of Financial Liberalization on Equity Returns in Southeast Asian Markets

Estimating the Dynamic Impact of Financial Liberalization on Equity Returns in Southeast Asian... Recent studies of the impact of financial liberalization in emerging markets have not examined the dynamic impact of the liberalization process on equity returns despite the important implications on ongoing reform policies. We analyze six Asian equity markets using a dynamic adjustment model with three independent variables: market capitalization value, pricebook value ratio, and price‐earnings ratio. We use panel data for the period 1991‐2000 and the LSDVR (least square dummy variable regression) approach to identify the timing effects of liberalization. The stability of the model is also tested. The results indicate, in most cases, the significance of all three variables and the timing effects. Evidence of significant structural changes is also supported. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Multinational Business Review Emerald Publishing

Estimating the Dynamic Impact of Financial Liberalization on Equity Returns in Southeast Asian Markets

Multinational Business Review , Volume 16 (1): 18 – Mar 11, 2008

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References (25)

Publisher
Emerald Publishing
Copyright
Copyright © 2008 Emerald Group Publishing Limited. All rights reserved.
ISSN
1525-383X
DOI
10.1108/1525383X200800005
Publisher site
See Article on Publisher Site

Abstract

Recent studies of the impact of financial liberalization in emerging markets have not examined the dynamic impact of the liberalization process on equity returns despite the important implications on ongoing reform policies. We analyze six Asian equity markets using a dynamic adjustment model with three independent variables: market capitalization value, pricebook value ratio, and price‐earnings ratio. We use panel data for the period 1991‐2000 and the LSDVR (least square dummy variable regression) approach to identify the timing effects of liberalization. The stability of the model is also tested. The results indicate, in most cases, the significance of all three variables and the timing effects. Evidence of significant structural changes is also supported.

Journal

Multinational Business ReviewEmerald Publishing

Published: Mar 11, 2008

Keywords: Financial liberalization; Emerging markets; Equity returns; Southeast Asia; Market capitalization value; Pricebook value ratio; Price‐earnings ratio

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