The Effects of Financial Liberalization on Stock Market Cycles: Structural Time Series Models

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Afef Trabelsi Mnif
Afef Trabelsi Mnif
1 Research unit of economics and development (URED), High School of Commerce in SFAX Tunisia

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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 andThailand) during 1975-2005. This paper aims to apply the methodology of univariate structural unobservedcomponents time series models. Our results indicate that liberalization triggers more volatile stock market in theshort run. Still, liberalization seems to generate more stable financial markets in the long run. Stock marketcycles of Asian countries continue to be very high in the post-reform period, mostly because of the influence ofthe Asian crisis. However, after financial liberalization, Latin American stock market leads to more stable stockmarket cycles.

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No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

Afef Trabelsi Mnif. 2014. \u201cThe Effects of Financial Liberalization on Stock Market Cycles: Structural Time Series Models\u201d. Global Journal of Computer Science and Technology - G: Interdisciplinary GJMBR-G Volume 13 (GJMBR Volume 13 Issue G7): .

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GJMBR Volume 13 Issue G7
Pg. 17- 24
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Crossref Journal DOI 10.17406/gjcst

Print ISSN 0975-4350

e-ISSN 0975-4172

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February 26, 2014

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English

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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 andThailand) during 1975-2005. This paper aims to apply the methodology of univariate structural unobservedcomponents time series models. Our results indicate that liberalization triggers more volatile stock market in theshort run. Still, liberalization seems to generate more stable financial markets in the long run. Stock marketcycles of Asian countries continue to be very high in the post-reform period, mostly because of the influence ofthe Asian crisis. However, after financial liberalization, Latin American stock market leads to more stable stockmarket cycles.

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The Effects of Financial Liberalization on Stock Market Cycles: Structural Time Series Models

Afef Trabelsi Mnif
Afef Trabelsi Mnif Research unit of economics and development (URED), High School of Commerce in SFAX Tunisia

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