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Title: |
The Effects of De-regulation on Share-Market Efficiency in the
Asia-Pacific |
| Author: |
Groenewold,
Nicolaas; Ariff, Mohamed |
| Author
Affiliation: |
U Western
Australia; Monash U |
| Source: |
International Economic Journal, Winter 1998, v. 12, no. 4, pp. 23-47 |
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Publication Date: |
Winter 1998 |
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Abstract: |
Emerging markets have been the fastest
growing share markets in the past decade. There are 58 emerging markets.
Yet, little is known about their efficiency compared to the vast body of
results on efficiency of the developed markets. Little is also known of
the way in which deregulation of emerging financial markets affects
efficiency. This paper uses daily closing values for share-price indexes
for ten countries in the Asia-Pacific to assess the effect on
market-efficiency of liberalisation of both the domestic capital-market
regulations and in the openness to international financial flows. We
find that several measures of market-efficiency are unaffected by
deregulation while measures based on regression and autocorrelation
point to greater predictability (both domestically and internationally)
after deregulation. This counter-intuitive finding for the international
case may be explained by the greater integration of international
capital markets. The domestic phenomenon remains a puzzle, however. |
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