Structural Changes and Dating of Stock Market Liberalisation: Evidence from the Jse Securities Exchange South Africa

References

• Bai, J, Lumsdaine, R L and Stock, J H (1998): “Testing for and Dating Common Breaks in Multivariate Time Series”, Review of Economic Studies, 65, 395-432.
   Web of Science ®Google Scholar
• Banerjee, A, Lumsdaine, R and Stock, J (1992): “Recursive and Sequential Tests of the Unit-root and Trend-break Hypotheses: Theory and International Evidence”, Journal of Business and Economic Statistics, 10, 271-287.
   Web of Science ®Google Scholar
• Beim, D O and Calomiris, C W (2001): Emerging Financial Markets, McGraw Hill-Irwin.
   Google Scholar
• Bekaert, G (1995): “Market Integration and Investment Barriers in Emerging Equity Markets”, World Bank Economic Review, 9(1), 75-107.
   Web of Science ®Google Scholar
• Bekaert, G and Harvey, C R (2000): “Foreign Speculators and Emerging Equity Markets”, Journal of Finance, 55(2), 565-613.
   Web of Science ®Google Scholar
• Bekaert, G and Harvey C R (1995): “Time-Varying World Market Integration”, Journal of Finance, 50(2), 403-444.
   Web of Science ®Google Scholar
• Bekaert, G and Harvey, C R (2003): “Emerging Markets Finance”, Journal of Empirical Finance, 10, 3-55.
   Google Scholar
• Bekaert, G, Harvey, C, Lumsdaine, R (2002a): “The Dynamics of Emerging Market Equity Flows”, Journal of International Money and Finance, 21(3), 295-350.
   Web of Science ®Google Scholar
• Bekaert, G, Harvey, C R and Lumsdaine, R L (2002b): “Dating the Integration of World Equity Markets”, Journal of Financial Economics, 65(2), 203-249.
   Web of Science ®Google Scholar
• Bekaert, G Harvey, C and Lundblad C (2001): “Does Financial Liberalization Spur GrowthŒ” NBER Working paper Series Number 8245, Cambridge Mass.
   Google Scholar
• Bekaert, G, Harvey, C R and Lundblad, C (2003): “Equity Market Liberalization in Emerging Markets,” The Federal Reserve Bank of St. Louis Review, July/August 2003.
   Google Scholar
• Bhattacharya, U and Daouk, H (2002): “The World Price of Insider Trading,” Journal of Finance, 57, 75-108.
   Web of Science ®Google Scholar
• Binder, J J (1998): “The Event Study Methodology Since 1969,” Review of Quantitative Finance and Accounting, 11, 11-137.
   Google Scholar
• Brooks R D, Davidson S and Faff R W (1997): “An Examination of the Effects of Major Political Change on Stock Market Volatility”, Journal of International Financial Markets, Institutions & Money, 7, 255-275.
   Google Scholar
• Campbell, J Y and Perron, P (1991): “Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots”, National Bureau of Economic Research Macroeconomic Annual, 141-201, Cambridge: MIT Press, 1991.
   Google Scholar
• Chaudhuri, K and Wu, Y (2004): “Mean Reversion in Stock Prices: Evidence from Emerging Markets”, Managerial Finance, 30(1), 22-37.
   Google Scholar
• Chaudhuri, K and Wu, Y (2003): “Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets”, Journal of Banking and Finance, 27, 575-592.
   Web of Science ®Google Scholar
• Chow, G C (1960): “Tests of Equality between Sets of Coefficients in Two Linear Regressions”, Econometrica, 28, 591-605.
   Web of Science ®Google Scholar
• Christiano, L J (1992): Searching for a Break in GNP, Journal of Business and Economic Statistics, 10, 237-250.
   Web of Science ®Google Scholar
• DeBondt, W and Thaler, R (1985): “Does the Stock Market OverreactŒ”, Journal of Finance, 40, 793-805.
   Web of Science ®Google Scholar
• Dickey, D and Fuller, W (1979): “Distribution of the Estimators for Autoregressive Time Series With a Unit Root”, Journal of the American Statistical Association, 74:427-431.
   Web of Science ®Google Scholar
• Dickey, D and Fuller, W (1981): “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-1072.
   Web of Science ®Google Scholar
• Errunza, V R (1997): “Research on Emerging Markets: Past, Present, and Future”, Emerging Markets Quarterly, 1(3), 5-14.
   Google Scholar
• Errunza, V R and Miller, D P (2000): “Market Segmentation and the Cost of Capital in International Equity Markets”, Journal of Financial and Quantitative Analysis, 35(4), 577-600.
   Web of Science ®Google Scholar
• Fama, E F and French, K R (1988): “Permanent and Temporary Components of Stock Prices”, Journal of Political Economy, 96, 246-273.
   Web of Science ®Google Scholar
• Fuchs-Schundeln, N and Funke, N (2001): “Stock Market Liberalizations: Financial and Macroeconomic Implications”, IMF Working Paper WP/01/193, 1-40.
   Google Scholar
• Gelos, R G and Werner, A M (2001). “Financial Liberalization, Credit Constraints, and Collateral: Investment in Mexican Manufacturing Sector”. Journal of Development Economics, 67, 1-27.
   Web of Science ®Google Scholar
• Henry, P B (2000): “Stock Market Liberalization, Economic Reform, and Emerging Market Equity”, Journal of Finance, 55(2), 529-564
   Web of Science ®Google Scholar
• JSE Research Report, (1994): The Future Structure of the Johannesburg Stock Exchange, Report of the Research Sub-Committee.
   Google Scholar
• Kim, E H and Singal, V (2000): “Stock Market Openings: Experience of Emerging Economies”, Journal of Business, 73(1), 25-66.
   Web of Science ®Google Scholar
• Levine, R (2001): “International Financial Liberalization and Economic Growth”, Review of International Economics, 9(4), 688-702.
   Google Scholar
• Levine, R and Zervos, S (1998): “Stock Markets, Banks, and Economic Growth”, The American Economic Review, 88(3), 537-557.
   Web of Science ®Google Scholar
• Lewellen, J (2004): “Predicting Returns with Financial Ratios”, Journal of Financial Economics, 74, 209-235.
   Web of Science ®Google Scholar
• Maddala, G S and Kim I M (1999): Unit Roots, Cointegration and Structural Change, Cambridge University Press.
   Google Scholar
• Miller, D P (1999): “The Impact of International Market Segmentation on Securities Prices: Evidence from Depositary Receipts”, Journal of Financial Economics, 51, 103-123.
   Web of Science ®Google Scholar
• Noriega, A E and Soria, L M (2002): “Structural breaks, Orders of Integration, and the Neutrality Hypothesis: Further Evidence”, Computing in Economics and Finance, Society for Computational Economics, July 2002, 1-24.
   Google Scholar
• Perron, P (1989): “The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis”, Econometrica, 57, 1361-1401.
   Web of Science ®Google Scholar
• Phillips, P C B, and Perron, P (1988): “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335-346.
   Web of Science ®Google Scholar
• Porteba, J M and Summers, L H, (1988): “Mean Reversion in Stock Prices: Evidence and Implications”, Journal of Financial Economics, 22, 27-59.
   Web of Science ®Google Scholar
• Roussanov, N (2001): “Stationarity of Predictive Ratios: Applying the Range-Based Tests”, www.nber.org/~nroussanov/dy.
   Google Scholar
• Stulz, R M (1999): “Globalization, Corporate Finance, and Cost of Capital”, Journal of Applied Corporate Finance, 12, 8-25.
   Google Scholar
• Thompson A R and Ward, M J D (1995): “The Johannesburg Stock Exchange as an Efficient Market: A Review”, Journal of Studies in Econometrics, 19(3), 33-63.
   Google Scholar