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

Afef Trabelsi Mnif

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

Afef Trabelsi Mnif * §

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

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Abstract

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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Funding

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.

Data Availability

Not applicable for this article.

How to Cite This Article

Afef Trabelsi Mnif. 2014. "The Effects of Financial Liberalization on Stock Market Cycles: Structural Time Series Models". Global Journal of Computer Science and Technology - G: Interdisciplinary, Global Journal of Management and Business Research - G: Interdisciplinary GJMBR-G Volume 13 (GJMBR Volume 13 Issue G7).

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GJMBR Volume 13 Issue G7

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Journal Specifications

Crossref Journal DOI 10.17406/gjcst

Print ISSN 0975-4350

e-ISSN 0975-4172

Keywords

business cycle emerging stock market financial liberalization structural unobserved components

Classification

GJMBR-C Classification JEL Code: C22

D53

E32

G15

Submission ReceivedDecember 6, 2012
Peer Review Double Blind
Handling Editor
Accepted January 1, 2013
Published January 15, 2013

Version of record

v1.2

Issue date

February 26, 2014

Language

English

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Article Matrices

Total Score: 141

Country: Tunisia

Subject: Global Journal of Computer Science and Technology

Authors: Afef Trabelsi Mnif (PhD/Dr. count: 0)

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