Financial liberalization and stock market volatility: the case of Indonesia
Financial liberalization and stock market volatility: the case of Indonesia
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金融自由化和股市波动：印度尼西亚的案例
DOI：
10.1080/09603100903459816
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
James G
中科院分区：
文献类型：
--
作者：
James G
本文考察了印尼金融自由化与股市波动之间的关系。通过观察雅加达综合指数(JCI)的时间序列特性，我们发现股市波动的间歇性与重大政策事件的时间重合。我们的主要发现是：(I)股票市场“正式”开放给外国投资者参与后，波动性显著降低；(Ii)在放宽准入要求和发放经纪牌照的改革之后，市场开放前一年的波动性显著增加；(Iii)亚洲金融危机期间波动性显著增加，随后在危机后的第二年和第六年大幅下降。
This article examines the relationship between financial liberalization and stock market volatility in Indonesia. By looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the ‘official’ opening of the stock market to foreign participation; (ii) a significant increase in volatility in the year before market opening following reforms that eased entry requirements and the issuance of brokerage licenses and (iii) a significant increase in volatility at the time of the Asian crisis followed by a significant decrease in the second and sixth years after the crisis.