Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1997 erstellt
Beschreibung:
A number of countries have delayed the opening of their capital markets to internationalquot; investment because of reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross-sectional time-series model that attempts toquot; assess the impact of market liberalizations, in the form of the offering of depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity markets. We also examine the impact of capital marketquot; liberalizations on the correlation of emerging equity market returns and the world market return. quot; Our empirical approach is designed to control for other economic events which might confoundquot; the impact of foreign speculators on local equity markets. Whatever the empirical specification the cost of capital always decreases after a capital market liberalization but the effect isquot; economically and statistically weak. The effects on volatility and correlation are less robust.quot