Structural Changes and Dating of Stock Market Liberalization: Evidence from the JSE Securities Exchange South Africa
affiliation not provided to SSRN
Metropolitan State University of Denver - Department of Accounting
June 1, 2005
In this paper the authors examine the problem of dating stock market liberalization using time series of South African stock market data. Defining the date of stock market liberalization as that on which there is a structural change in time series data, they test for structural breaks. They perform tests on time series of monthly dividend yields and report two structural breaks. Noteworthy is that the structural breaks occurred earlier than the JSE's official liberalization date of March 1995, thus suggesting political and economic risks were the more binding constraints to foreign investment than legal barriers.
Keywords: liberalization, Johannesburg stock exhange, structural breaks, dating of stock market liberalizationworking papers series
Date posted: May 24, 2008
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