Stock Market Cycles, Financial Liberalization and VolatilitySebastian Edwards, Javier Gómez Biscarri and Fernando Pérez de Gracia () No 08/03, Faculty Working Papers from School of Economics and Business Administration, University of Navarra Abstract: In this paper we analyze the behavior of stock markets in six emerging countries. More specifically, we describe the bull and bear cycles of four Latin American and two Asian countries, comparing their characteristics during both phases and the degree of concordance of bullish periods. We divide our sample in two subperiods in order to account for differences induced by the financial liberalization processes that these countries went through in the early 1990's. We find that cycles in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed countries whereas Asian countries have become more dissimilar. Concordance of cycles across markets has increased significantly over time, especially for Latin American countries after liberalization. JEL-codes: C22 G15 (search for similar items in EconPapers) Published, Journal of International Money and Finance, 2003, vol. 22(7): pp. 925-955 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp0803 Access Statistics for this paper More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra |
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