Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices

Journal of Finance - Tập 55 Số 2 - Trang 529-564 - 2000
Peter Blair Henry1
1Graduate School of Business, Stanford University, Stanford, CA 94305-5015.

Tóm tắt

A stock market liberalization is a decision by a country's government to allow foreigners to purchase shares in that country's stock market. On average, a country's aggregate equity price index experiences abnormal returns of 3.3 percent per month in real dollar terms during an eight‐month window leading up to the implementation of its initial stock market liberalization. This result is consistent with the prediction of standard international asset pricing models that stock market liberalization may reduce the liberalizing country's cost of equity capital by allowing for risk sharing between domestic and foreign agents.

Từ khóa


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Thông tin xuất bản

Journal of Finance

Tập 55 Số 2

529-564

Thông tin tác giả