The Effect of financial and trade liberalization on stock market volatility in Selected Developing Countries: dynamic data panel approach
Subject Areas :
Labor and Demographic Economics
sirvan aghaie
1
(
PhD Student, Department of Economics, Urmia Branch, Islamic Azad University, Urmia, Iran
)
Mohammad Sokhanvar
2
(
Mohammad Sokhnour, Assistant Professor, Department of Economics, Urmia Branch, Islamic Azad University, Urmia, Iran
)
tahereh akhoondzadeh
3
(
Assistant Professor, Department of Economics, Urmia Branch, Islamic Azad University, Urmia, Iran
)
Received: 2021-06-30
Accepted : 2021-12-11
Published : 2021-12-21
Keywords:
C58,
Generalized Method of Moments (GMM),
Dynamic Panel,
Stock market volatility,
Multivariate GARCH (BEKK),
JEL classifications: F41,
G15 Keywords: financial and trade liberalization,
Abstract :
Abstract: The purpose of this paper is to investigate the effect of financial and trade liberalization on stock market fluctuations in 25 selected developing countries between 2001-2019 using a multivariate mushroom model to calculate fluctuations and generalized torque method. Based on the findings of the multivariate mushroom approach, there is a positive and significant relationship between financial and trade liberalization and the stock market fluctuations in this group of countries. Investigating the effect of financial and trade liberalization on stock market volatility using the generalized dynamic torque panel regression model shows a positive relationship between financial and trade liberalization and inflation with stock market volatility and also shows an inverse relationship between per capita income and financial liberalization and trade with it. Based on the results, it is suggested that economic policymakers, when implementing financial and trade liberalization policies, should take it into account that this liberalization is both an opportunity and a threat to domestic capital markets. Accordingly, imposition of financial and trade liberalization measures are recommended simultaneously and in a regulatory context.
References:
منابع
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