Home > Research > Publications & Outputs > The degree of financial liberalization and aggr...
View graph of relations

The degree of financial liberalization and aggregated stock-return volatility in emerging markets

Research output: Contribution to journalJournal articlepeer-review

Published

Standard

The degree of financial liberalization and aggregated stock-return volatility in emerging markets. / Umutlu, Mehmet; Akdeniz, Levent; Altay-Salih, Aslihan.

In: Journal of Banking and Finance, Vol. 34, No. 3, 03.2010, p. 509-521.

Research output: Contribution to journalJournal articlepeer-review

Harvard

APA

Vancouver

Author

Umutlu, Mehmet ; Akdeniz, Levent ; Altay-Salih, Aslihan. / The degree of financial liberalization and aggregated stock-return volatility in emerging markets. In: Journal of Banking and Finance. 2010 ; Vol. 34, No. 3. pp. 509-521.

Bibtex

@article{5321df4ed67d49a8a9ca0ac7ab2a2f67,
title = "The degree of financial liberalization and aggregated stock-return volatility in emerging markets",
abstract = "In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.",
keywords = "return volatility, financial liberalization",
author = "Mehmet Umutlu and Levent Akdeniz and Aslihan Altay-Salih",
year = "2010",
month = mar,
doi = "10.1016/j.jbankfin.2009.08.010",
language = "English",
volume = "34",
pages = "509--521",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "3",

}

RIS

TY - JOUR

T1 - The degree of financial liberalization and aggregated stock-return volatility in emerging markets

AU - Umutlu, Mehmet

AU - Akdeniz, Levent

AU - Altay-Salih, Aslihan

PY - 2010/3

Y1 - 2010/3

N2 - In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.

AB - In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.

KW - return volatility

KW - financial liberalization

U2 - 10.1016/j.jbankfin.2009.08.010

DO - 10.1016/j.jbankfin.2009.08.010

M3 - Journal article

VL - 34

SP - 509

EP - 521

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 3

ER -