Structural Changes and Dating of Stock Market Liberalization: Evidence from the JSE Securities Exchange South Africa

Abstract:     
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 liberalization

working papers series