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dc.contributor.authorUmutlu, M.en_US
dc.contributor.authorAkdeniz, L.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.date.accessioned2016-02-08T09:59:52Z
dc.date.available2016-02-08T09:59:52Z
dc.date.issued2010en_US
dc.identifier.issn0378-4266
dc.identifier.urihttp://hdl.handle.net/11693/22419
dc.description.abstractIn this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of Banking and Financeen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.jbankfin.2009.08.010en_US
dc.subjectEmerging marketsen_US
dc.subjectFinancial liberalizationen_US
dc.subjectMarket integrationen_US
dc.subjectReturn volatilityen_US
dc.subjectVolatility decompositionen_US
dc.titleThe degree of financial liberalization and aggregated stock-return volatility in emerging marketsen_US
dc.typeArticleen_US
dc.departmentFaculty of Business Administrationen_US
dc.citation.spage509en_US
dc.citation.epage521en_US
dc.citation.volumeNumber34en_US
dc.citation.issueNumber3en_US
dc.identifier.doi10.1016/j.jbankfin.2009.08.010en_US
dc.publisherElsevieren_US


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