Jurnal Ekonomi Malaysia
46 (1) 2012 101 – 106
Pusat Pengajian Ekonomi,
Universiti Kebangsaan Malaysia
43600 Bangi, Selangor
MALAYSIA
Department of Economics
Universiti Putra Malaysia
48000 Serdang Selangor
MALAYSIA
Pusat Pengajian Ekonomi/Institut Kajian Rantau Asia Barat (IKRAB)
Universiti Kebangsaan Malaysia
43600 Bangi, Selangor
Malaysia
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.
Keywords
Bibliography
@article{sarmidi2012volatility,
title={Volatility of Returns and Financial Liberalization: New Evidence},
author={Salleh, Norlida and Law, Siong Hook and Sarmidi, Tamat},
journal={Jurnal Ekonomi Malaysia},
volume={46},
number={1},
pages={101—106},
}
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