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Volatility of returns and financial liberalization: new evidence


Citation

Sarmidi, Tamat and Mohd Salleh, Norlida Hanim and Law, Siong Hook (2012) Volatility of returns and financial liberalization: new evidence. Jurnal Ekonomi Malaysia, 46 (1). pp. 101-106. ISSN 0126-1962

Abstract

The main objective of this paper is to reinvestigate the relationship between liberalization and returns volatility by considering different level of economic fundamentals and level of openness. The real impact of financial liberalization is expected to vary across countries with different macroeconomic fundamentals and level of liberalization. This study is different from previous studies because we do not impose priori linear restriction on the estimation. Employing endogenous threshold estimation methods, our finding shows that the relationship between liberalization and returns volatility is nonlinear and the negative impact of liberalization can be annulled for countries with strong and stable government.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Penerbit Universiti Kebangsaan Malaysia
Keywords: Financial liberalization; Non-linear; Return volatility; Threshold regression
Depositing User: Nabilah Mustapa
Date Deposited: 02 Feb 2016 04:00
Last Modified: 02 Feb 2016 04:00
URI: http://psasir.upm.edu.my/id/eprint/15526
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