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

Harridutt Ramcharran (Professor of finance and international business at The University of Akron in Ohio)
Doseong Kim (Professor of finance at Sogang University in Korea)

Multinational Business Review

ISSN: 1525-383X

Article publication date: 11 March 2008

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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.

Keywords

Citation

Ramcharran, H. and Kim, D. (2008), "Estimating the Dynamic Impact of Financial Liberalization on Equity Returns in Southeast Asian Markets", Multinational Business Review, Vol. 16 No. 1, pp. 101-118. https://doi.org/10.1108/1525383X200800005

Publisher

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Emerald Group Publishing Limited

Copyright © 2008, Emerald Group Publishing Limited