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Financial Development, Openness and Institutions: Evidence from Panel Data
Badi H. BaltagiPanicos O. Demetriades
Siong Hook Law
Abstract
Utilising four annual panel datasets and dynamic panel data estimation procedures we find that trade and financial openness, as well as economic institutions are statistically important determinants of the variation in financial development across countries and over time since the 1980s. However, we find mixed support for the hypothesis that the simultaneous opening of both trade and capital accounts is necessary to promote financial development in a contemporary setting.
http://www.le.ac.uk/economics/research/RePEc/lec/leecon/dp07-5.pdf
Financial Liberalisation and Breaks in Stock Market Volatility
Panicos DemetriadesMichail Karoglou
Siong Hook Law
Abstract
This paper proposes a new statistical procedure which aims at providing robust estimates of volatility around official liberalisation dates, by using data driven techniques to identify the number and timing of structural breaks in the variance dynamics of stock market returns. The paper illustrates the usefulness of the procedure by providing an empirical application that focuses on five East Asian emerging markets, all of which liberalised their financial markets in the late 1980s or early 1990s, namely (South) Korea, Malaysia, Philippines, Taiwan and Thailand. It is shown that (i) the detected breakdates in the volatility of stock market returns do not correspond to official liberalisation dates and (ii) the use of official liberalisation dates as breakdates is likely to result in inaccurate inference. By using data driven techniques to detect multiple structural changes a richer - and inevitably more accurate - pattern of volatility dynamics emerges in comparison to focussing on official liberalisation dates.
http://www.le.ac.uk/economics/research/RePEc/lec/leecon/dp06-13.pdf
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