On the Relationship between Economic Freedom and Equity Returns in the Emerging Markets
University of Ontario Institute of Technology (UOIT) - Faculty of Business & IT
affiliation not provided to SSRN
June 1, 2008
Emerging Markets Review, Vol. 11, No. 2, 2010
Although the relationship between economic freedom and equity returns has been investigated in the literature, the Middle East and North Africa (MENA) equity markets were usually excluded. The aim of this paper is to fill in this gap by examining the relationship between economic freedom index and equity market returns after accounting for a number of control variables. Evidence shows that changes in economic freedom have a positive impact on equity market returns, which are not explained by business-cycle control variables related to expected returns, and that legal structure and security of property rights have the most significant impact.
Keywords: Economic freedom, International finance, Property rights, Rule of law, Economic growth, MENA region
JEL Classification: F3, F42, O1, O47, P51Accepted Paper Series
Date posted: February 5, 2011
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