THE EFFECTS OF DE-REGULATION ON SHARE-MARKET EFFICIENCY IN THE ASIA-PACIFIC

Nicolaas Groenewold A · Mohamed Ariff

47 citations0/0 files storedInternational Economic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Finance, Markets, and Regulation

Abstract

Emerging markets have been the fastest growing share markets in the past decade. There are 58 emerging markets. Yet, little is know about their efficiency compared to the vast body of results on efficiency of the developed markets. Little is also known of the way in de-regulation of emerging financial market affects efficiency. This Paper use daily closing values for share-price indexes for ten countries in the Asia-Pacific to assess the effect on market-efficiency of liberalisation of both the domestic capital-market regulation and the in the openness to international financial flows. We find that several measures of market-efficiency are unaffected by de-regulation while measure based on regression and autocorrelation point to greater predictability (both domestically and internationally) after de-regulation. This counter-integration of international capital markets. The domestic phenomenon remains a puzzle, however.

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References

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