TY  - JOUR
AU  - Edwards,Sebastian
AU  - Biscarri,Javier Gomez
AU  - Gracia,Fernando Perez de
TI  - Stock Market Cycles, Financial Liberalization and Volatility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9817
PY  - 2003
Y2  - July 2003
UR  - http://www.nber.org/papers/w9817
L1  - http://www.nber.org/papers/w9817.pdf
N1  - Author contact info:
Sebastian Edwards
UCLA Anderson Graduate School of Business
110 Westwood Plaza, Suite C508
Box 951481
Los Angeles, CA 90095-1481
Tel: 310/206-6797
Fax: 310/206-5825
E-Mail: sebastian.edwards@anderson.ucla.edu
AB  - 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.
ER  -