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Financial liberalisation and stock market volatility: the case of Indonesia
preprint
posted on 2009-11-12, 16:51 authored by Gregory James, Michail KaroglouThis paper examines the relationship between financial liberalisation and stock market volatility in Indonesia. By looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the "official" opening of the stock market to foreign participation; (ii) a significant increase in volatility in the year before market opening following reforms that eased entry requirements and the issuance of brokerage licenses; and (iii) a significant increase in volatility at the time of the Asian crisis followed by a significant decrease in the second and sixth years after the crisis.
History
School
- Business and Economics
Department
- Economics
Publisher
© Loughborough UniversityVersion
- VoR (Version of Record)
Publication date
2009Notes
This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2009_11.htmlISSN
1750-4171Book series
Loughborough University. Department of Economics. Discussion Paper Series;WP 2009 - 11Language
- en