We compare the behaviour of stock market cycles during repression, in the aftermath of financial liberalization, and in the short and long run following liberalization. We investigate the characteristics of stock market cycles ina group of Latin American (Argentina, Brazil and Chile) and Asian countries (Philippines, Korea, Taiwan and Thailand) during 1975–2005. This paper aims to apply the methodology of univariate structural unobserved components time series models. Our results indicate that liberalization triggers more volatile stock market in the short run. Still, liberalization seems to generate more stable financial markets in the long run. Stock market cycles of Asian countries continue to be very high in the post-reform period, mostly because of the influence of the Asian crisis. However, after financial liberalization, Latin American stock market leads to more stable stock market cycles.