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

Afef Trabelsi Mnif

Authors

Afef Trabelsi Mnif

Keywords:

business cycle, emerging stock market, financial liberalization, structural unobserved components

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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How to Cite

The Effects of Financial Liberalization on Stock Market Cycles: Structural Time Series Models. (2013). Global Journal of Management and Business Research, 13(37), 17-24. https://journalofbusiness.org/index.php/GJMBR/article/view/

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Author Biography

Afef Trabelsi Mnif

Afef Trabelsi Mnif is a researcher affiliated with the Research Unit of Economics and Development (URED) at the High School of Commerce in Sfax, Tunisia, and also associated with the University of Sfax. Her research focuses on financial liberalization, stock market cycles, and the impact of political uncertainty on financial markets. She has authored notable works such as 'The Effects of Financial Liberalization on Stock Market Cycles: Structural Time Series Models' and 'Political Uncertainty and Behavior of Tunisian Stock Market Cycles Structural Unobserved Components Time Series Models.' With a citation count of 39, an h-index of 2, and an i10-index of 1, her contributions are recognized in the field of economics and finance.

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