DSpace Repository

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

Show simple item record

dc.contributor.author Umutlu, Mehmet
dc.contributor.author Akdeniz, Levent
dc.contributor.author Altay-Salih, Aslıhan
dc.date.accessioned 2016-06-14T10:39:10Z
dc.date.available 2016-06-14T10:39:10Z
dc.date.issued 2010-03
dc.identifier.citation Umutlu, M., Akdeniz, L., Altay-Salih, A. (2010). The degree of financial liberalization and aggregated stock-return volatility in emerging markets. Journal of Banking&Finance, 34(3), 509-521. http://dx.doi.org/10.1016/j.jbankfin.2009.08.010 tr_TR
dc.identifier.issn 0378-4266
dc.identifier.uri http://hdl.handle.net/20.500.12416/1102
dc.description.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 tr_TR
dc.language.iso eng tr_TR
dc.publisher Elsevier Science Bv tr_TR
dc.relation.isversionof 10.1016/j.jbankfin.2009.08.010 tr_TR
dc.rights info:eu-repo/semantics/closedAccess
dc.subject Return Volatility tr_TR
dc.subject Financial Liberalization tr_TR
dc.subject Market Integration tr_TR
dc.subject Volatility Decomposition tr_TR
dc.subject Emerging Markets tr_TR
dc.title The degree of financial liberalization and aggregated stock-return volatility in emerging markets tr_TR
dc.type article tr_TR
dc.relation.journal Journal of Banking&Finance tr_TR
dc.contributor.authorID 38254 tr_TR
dc.contributor.authorID 178057 tr_TR
dc.identifier.volume 34 tr_TR
dc.identifier.issue 3 tr_TR
dc.identifier.startpage 509 tr_TR
dc.identifier.endpage 521 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi İdari Bilimler Fakültesi, İşletme Bölümü tr_TR


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record