Stock Market Cycles, Financial Liberalization and Volatility

55 Pages Posted: 5 Jul 2003

See all articles by Sebastian Edwards

Sebastian Edwards

University of California, Los Angeles (UCLA) - Global Economics and Management (GEM) Area; National Bureau of Economic Research (NBER)

Javier Gómez Biscarri

Universitat Pompeu Fabra; Barcelona Graduate School of Economics (Barcelona GSE)

Fernando Perez De Gracia

School of Economics and Business - University of Navarra

Date Written: July 2003

Abstract

In this paper we analyze the behavior of stock markets in six emerging countries. More specifically, we describe the bull and bear cycles of four Latin American and two Asian countries, comparing their characteristics during both phases and the degree of concordance of bullish periods. We divide our sample in two subperiods in order to account for differences induced by the financial liberalization processes that these countries went through in the early 1990's. We find that cycles in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed countries whereas Asian countries have become more dissimilar. Concordance of cycles across markets has increased significantly over time, especially for Latin American countries after liberalization.

Suggested Citation

Edwards, Sebastian and Gómez Biscarri, Javier and Perez de Gracia Hidalgo, Fernando, Stock Market Cycles, Financial Liberalization and Volatility (July 2003). NBER Working Paper No. w9817. Available at SSRN: https://ssrn.com/abstract=421778

Sebastian Edwards (Contact Author)

University of California, Los Angeles (UCLA) - Global Economics and Management (GEM) Area ( email )

110 Westwood Plaza
Box 951481
Los Angeles, CA 90095-1481
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310-206-6797 (Phone)
310-206-5825 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Javier Gómez Biscarri

Universitat Pompeu Fabra ( email )

Ramon Trias Fargas, 25-27
Barcelona, E-08005
Spain

Barcelona Graduate School of Economics (Barcelona GSE) ( email )

Ramon Trias Fargas, 25-27
Barcelona, Barcelona 08005
Spain

Fernando Perez de Gracia Hidalgo

School of Economics and Business - University of Navarra ( email )

Campus Universitario
Pamplona, Navarra 31080
Spain

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