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Jurnal Ekonomi Malaysia

46 (1) 2012 101 – 106

Volatility of Returns and Financial Liberalization: New Evidence
Kemeruapan Pulangan dan Liberalisasi Kewangan: Bukti Baru

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

tamat@ukm. my

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

Financial liberalization; non-linear; return volatility; threshold regression
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Salleh, N. H., Law, , & Sarmidi, (2012). Volatility of Returns and Financial Liberalization: New Evidence. Jurnal Ekonomi Malaysia, 46(1), 101–106.

@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},
 

year={2012},
}

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