Abstract
AbstractThe present study investigates the determinants of stock market development and price volatility in a sample of the Association of Southeast Asian Nations (ASEAN) plus three countries. More specifically, the study explores the role of institutional quality indicators on stock market development and volatility. To achieve the objectives of the study, we use annual data from 1991 to 2014 and employ panel cointegration test, fully modified ordinary least square method, and heterogeneous noncausality test. Our empirical findings confirm the significant long‐run relationship among the variables. Similarly, our results of long‐run elasticities on stock market development and volatility indicate that the institutional freedom indicators such as regulation, size of the government, sound money, and trade freedom have significant positive effect on stock market development, and these indicators, along with legal system, have substantial negative impact on stock price volatility. We also find significant short‐run causalities of stock market development and price volatility with the macroeconomic variables. Given these results, our study suggests that the institutional freedom indicators not only promote stock market development, but they also effectively reduce stock price volatility in ASEAN plus three countries.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
