Financial Reforms and Time-Varying Microstructures in Emerging Equity Markets

33 Pages Posted: 7 Oct 2008

Date Written: October 7, 2008

Abstract

This paper seeks to investigate the impact of financial reforms on time-varying microstructures in emerging equity markets. We develop annual indicators of informational efficiency, market volatility and transaction costs, using daily data for a panel of 28 emerging markets over the 1996-2007 period. We then analyze the impact of insider trading regulations, trading system automation and accounting standardization on microstructures through a set of panel regressions controlling for financial development and simultaneous reforms. Our results suggest that emerging market microstructures are affected by economic and political context, are strongly related to one another and depend on specific institutional reforms.

Keywords: Emerging markets finance, economic development

JEL Classification: G11,G12,G15

Suggested Citation

Lagoarde-Segot, Thomas, Financial Reforms and Time-Varying Microstructures in Emerging Equity Markets (October 7, 2008). Available at SSRN: https://ssrn.com/abstract=1280104 or http://dx.doi.org/10.2139/ssrn.1280104

Thomas Lagoarde-Segot (Contact Author)

Euromed Management Marseille ( email )

Domaine de Luminy
BP 921 13288 Marseille Cedex 9, 13288
France

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