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The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets
16 references·16 citing·43 second hopsampled
The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets (2009)The Degree of Financial Liberalization an…A New Measure of Financial Openness (2008)A New Measure of Financial Op…The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004 (2007)The external wealth of nation…Does financial liberalization spur growth? (2005)Does financial liberalization…The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices (2004)The Influence of Analysts, In…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Stock Market Liberalization, …Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States (1999)The Effects of Market Segment…Emerging equity market volatility (1997)Emerging equity market volati…Corporate Disclosure Policy and Analyst Behavior. (1996)Corporate Disclosure Policy a…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Does stock market liberalization reduce stock price synchronicity? —Evidence from the Shanghai-Hong Kong Stock Connect (2021)Does stock market liberalizat…The Volatility of Capital Flows in Emerging Markets (2017)The Volatility of Capital Flo…Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect (2016)Return and volatility spillov…Financial development, international trade integration, and stock market integration: Evidence from Asia (2016)Financial development, intern…Foreign ownership and stock return volatility – Evidence from Vietnam (2015)Foreign ownership and stock r…Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 (2015)Dynamic Asian stock market co…Does central bank transparency affect stock market volatility? (2014)Does central bank transparenc…Real and monetary policy convergence: EMU crisis to the CFA zone (2013)Real and monetary policy conv…African Stock Market Performance Dynamics: A Multidimensional Convergence Assessment (2013)African Stock Market Performa…Government Quality Determinants of Stock Market Performance in African Countries (2012)Government Quality Determinan…Does foreign institutional ownership increase return volatility? Evidence from China (2012)Does foreign institutional ow…Are Proposed African Monetary Unions Optimal Currency Areas? Real, Monetary and Fiscal Policy Convergence Analysis (2012)Are Proposed African Monetary…A risk-based explanation of return patterns—Evidence from the Polish stock market (2012)A risk-based explanation of r…Two to tangle: Financial development, political instability and economic growth in Argentina (2011)Two to tangle: Financial deve…Measuring and explaining the volatility of capital flows to emerging countries (2011)Measuring and explaining the …Idiosyncratic volatility and cross‐sectional stock returns in Southeast Asian stock markets (2010)Idiosyncratic volatility and …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)Specification Tests in Econometrics (1978)Cross-Sectional Determinants of Analyst Ratings of Corporate Disclosures (1993)Why Firms Voluntarily Disclose Bad News (1994)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)What matters for financial development? Capital controls, institutions, and interactions (2005)Capital flow waves: Surges, stops, flight, and retrenchment (2012)Capital flows, push versus pull factors and the global financial crisis (2012)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)On the mechanics of economic development (1988)Legal Determinants of External Finance (1997)Law and Finance (1998)Financial Globalization: A Reappraisal (2006)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Individualism and Momentum around the World (2010)On the Impossibility of Informationally Efficient Markets (1980)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Redistribution, Inequality, and Growth (2014)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1996Corporate Disclosure Policy and Analyst Behavior.2,743 cited
  • 2007The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–20042,533 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2008A New Measure of Financial Openness2,090 cited
  • 2005Does financial liberalization spur growth?2,011 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2000Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices1,385 cited
  • 2004The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices1,250 cited
  • 1999The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States1,051 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited

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1985
International Asset Pricing under Mild Segmentation: Theory and Test
1,021 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • Cited by

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    • 2016Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect138 cited
    • 2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5125 cited
    • 2011Measuring and explaining the volatility of capital flows to emerging countries125 cited
    • 2015Foreign ownership and stock return volatility – Evidence from Vietnam102 cited
    • 2013African Stock Market Performance Dynamics: A Multidimensional Convergence Assessment99 cited
    • 2011Two to tangle: Financial development, political instability and economic growth in Argentina91 cited
    • 2017The Volatility of Capital Flows in Emerging Markets89 cited
    • 2021Does stock market liberalization reduce stock price synchronicity? —Evidence from the Shanghai-Hong Kong Stock Connect76 cited
    • 2014Does central bank transparency affect stock market volatility?68 cited
    • 2013Real and monetary policy convergence: EMU crisis to the CFA zone66 cited
    • 2010Idiosyncratic volatility and cross‐sectional stock returns in Southeast Asian stock markets60 cited
    • 2012Are Proposed African Monetary Unions Optimal Currency Areas? Real, Monetary and Fiscal Policy Convergence Analysis59 cited
    • 2012A risk-based explanation of return patterns—Evidence from the Polish stock market59 cited
    • 2016Financial development, international trade integration, and stock market integration: Evidence from Asia54 cited