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Title: Financial liberalisation and stock market volatility: the case of Indonesia
Authors: James, Gregory
Karoglou, Michail
Keywords: Financial liberalisation
Stock market volatility
Issue Date: 2009
Publisher: © Loughborough University
Series/Report no.: Loughborough University. Department of Economics. Discussion Paper Series;WP 2009 - 11
Abstract: This 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.
Description: This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2009_11.html
Version: Published
URI: https://dspace.lboro.ac.uk/2134/5471
ISSN: 1750-4171
Appears in Collections:Working Papers (Economics)

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