The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets
| dc.contributor.author | Akdeniz, Levent | |
| dc.contributor.author | Altay-Salih, Aslihan | |
| dc.contributor.author | Umutlu, Mehmet | |
| dc.date.accessioned | 2016-06-14T10:39:10Z | |
| dc.date.accessioned | 2025-09-18T15:45:06Z | |
| dc.date.available | 2016-06-14T10:39:10Z | |
| dc.date.available | 2025-09-18T15:45:06Z | |
| dc.date.issued | 2010 | |
| dc.description | Salih, Aslihan/0000-0001-6654-2783; Umutlu, Mehmet/0000-0003-1353-2922 | en_US |
| dc.description.abstract | In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country. and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns. (C) 2009 Elsevier B.V. All rights reserved. | en_US |
| dc.description.sponsorship | We thank Suk-Joong Kim, Lieven Baele, seminar and conference participants at Bilkent University, Çankaya University, Tilburg University, 2008 INFINITI Conference on International Finance and especially Frank de Jong, Refet Gurkaynak and an anonymous referee for helpful comments and suggestions on an earlier version of this paper. Gian Maria Milesi-Ferretti generously provided an up-to-date version of External Wealth of Nations Mark II data set. Some parts of this paper were written when Umutlu was visiting Tilburg University. The authors acknowledge the financial support from The Scientific and Technological Research Council of Turkey (Contract No. 106K203 ). | |
| dc.description.sponsorship | Türkiye Bilimsel ve Teknolojik Araştirma Kurumu, TÜBITAK, (106K203); Türkiye Bilimsel ve Teknolojik Araştirma Kurumu, TÜBITAK | |
| dc.identifier.citation | Umutlu, M., Akdeniz, L., Altay-Salih, A. (2010). The degree of financial liberalization and aggregated stock-return volatility in emerging markets. Journal of Banking&Finance, 34(3), 509-521. http://dx.doi.org/10.1016/j.jbankfin.2009.08.010 | en_US |
| dc.identifier.doi | 10.1016/j.jbankfin.2009.08.010 | |
| dc.identifier.issn | 0378-4266 | |
| dc.identifier.issn | 1872-6372 | |
| dc.identifier.issn | 1556-5068 | |
| dc.identifier.scopus | 2-s2.0-74149083265 | |
| dc.identifier.uri | https://doi.org/10.1016/j.jbankfin.2009.08.010 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/14486 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier Science Bv | en_US |
| dc.relation.ispartof | SSRN Electronic Journal | |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Financial Liberalization | en_US |
| dc.subject | Market Integration | en_US |
| dc.subject | Volatility Decomposition | en_US |
| dc.subject | Emerging Markets | en_US |
| dc.subject | Return Volatility | en_US |
| dc.title | The Degree of Financial Liberalization and Aggregated Stock-Return Volatility in Emerging Markets | en_US |
| dc.title | The degree of financial liberalization and aggregated stock-return volatility in emerging markets | tr_TR |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Salih, Aslihan/0000-0001-6654-2783 | |
| gdc.author.id | Umutlu, Mehmet/0000-0003-1353-2922 | |
| gdc.author.scopusid | 26535275600 | |
| gdc.author.scopusid | 56438029900 | |
| gdc.author.scopusid | 55666331200 | |
| gdc.author.wosid | Umutlu, Mehmet/K-6313-2019 | |
| gdc.author.wosid | Salih, Aslihan/G-5594-2018 | |
| gdc.author.wosid | Umutlu, Mehmet/IWM-3632-2023 | |
| gdc.author.yokid | 178057 | |
| gdc.bip.impulseclass | C4 | |
| gdc.bip.influenceclass | C4 | |
| gdc.bip.popularityclass | C4 | |
| gdc.coar.access | open access | |
| gdc.coar.type | text::journal::journal article | |
| gdc.collaboration.industrial | false | |
| gdc.description.department | Çankaya University | en_US |
| gdc.description.departmenttemp | [Umutlu, Mehmet] Cankaya Univ, Fac Econ & Adm Sci, TR-06530 Ankara, Turkey; [Akdeniz, Levent; Altay-Salih, Aslihan] Bilkent Univ, Fac Business Adm, TR-06800 Ankara, Turkey | en_US |
| gdc.description.endpage | 521 | en_US |
| gdc.description.issue | 3 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 509 | en_US |
| gdc.description.volume | 34 | en_US |
| gdc.description.woscitationindex | Social Science Citation Index | |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.openalex | W2125577331 | |
| gdc.identifier.wos | WOS:000275247700003 | |
| gdc.index.type | WoS | |
| gdc.index.type | Scopus | |
| gdc.oaire.accesstype | BRONZE | |
| gdc.oaire.diamondjournal | false | |
| gdc.oaire.impulse | 24.0 | |
| gdc.oaire.influence | 7.683355E-9 | |
| gdc.oaire.isgreen | true | |
| gdc.oaire.keywords | volatility decomposition | |
| gdc.oaire.keywords | 330 | |
| gdc.oaire.keywords | Emerging markets | |
| gdc.oaire.keywords | 332 | |
| gdc.oaire.keywords | Financial Liberalization | |
| gdc.oaire.keywords | return volatility; financial liberalization; market integration; volatility decomposition; emerging markets | |
| gdc.oaire.keywords | return volatility;financial liberalization;market integration;volatility decomposition;emerging markets | |
| gdc.oaire.keywords | Volatility decomposition | |
| gdc.oaire.keywords | market integration | |
| gdc.oaire.keywords | Return Volatility | |
| gdc.oaire.keywords | Decomposition | |
| gdc.oaire.keywords | emerging markets | |
| gdc.oaire.keywords | Financial liberalization | |
| gdc.oaire.keywords | Return volatility | |
| gdc.oaire.keywords | return volatility | |
| gdc.oaire.keywords | financial liberalization | |
| gdc.oaire.keywords | Market Integration | |
| gdc.oaire.keywords | Volatility | |
| gdc.oaire.keywords | Market integration | |
| gdc.oaire.keywords | Emerging Markets | |
| gdc.oaire.popularity | 3.4688217E-8 | |
| gdc.oaire.publicfunded | false | |
| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
| gdc.openalex.collaboration | National | |
| gdc.openalex.fwci | 13.8499 | |
| gdc.openalex.normalizedpercentile | 0.99 | |
| gdc.openalex.toppercent | TOP 10% | |
| gdc.opencitations.count | 131 | |
| gdc.plumx.crossrefcites | 50 | |
| gdc.plumx.facebookshareslikecount | 14 | |
| gdc.plumx.mendeley | 126 | |
| gdc.plumx.scopuscites | 119 | |
| gdc.publishedmonth | 3 | |
| gdc.scopus.citedcount | 119 | |
| gdc.virtual.author | Umutlu, Mehmet | |
| gdc.wos.citedcount | 97 | |
| relation.isAuthorOfPublication | cfd17e86-b4f1-4a2e-b1a1-11018724c92f | |
| relation.isAuthorOfPublication.latestForDiscovery | cfd17e86-b4f1-4a2e-b1a1-11018724c92f | |
| relation.isOrgUnitOfPublication | 9b4a8eed-e4b0-49f2-bcc6-6d23bcbf1218 | |
| relation.isOrgUnitOfPublication | da4f5829-5e26-41bc-9c75-12779175bb39 | |
| relation.isOrgUnitOfPublication | 0b9123e4-4136-493b-9ffd-be856af2cdb1 | |
| relation.isOrgUnitOfPublication.latestForDiscovery | 9b4a8eed-e4b0-49f2-bcc6-6d23bcbf1218 |