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| Author: | Kawakatsu, H. Morey, M. |
| Title: | An empirical examination of financial liberalization and the efficiency of emerging market stock prices |
| Journal: | Journal of Financial Research
1999 : WINTER, VOL. 22:4, p. 385-411 |
| Index terms: | FINANCE MARKETS SHARE PRICES |
| Language: | eng |
| Abstract: | The efficient markets hypothesis in finance suggests that as equity markets are liberalized and made more open to the public, equity prices should reflect the increased availability of information and be more efficiently priced. In this paper, the authors examine whether emerging market equity prices have become more efficient after financial liberalization. Using two sets of financial liberalization dates, a battery of econometric tests, and data from 16 countries and 3 composite portfolios, the authors find that in spite of theory suggesting the opposite, liberalization does not seem to have improved the efficiency of emerging markets. |
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