The Impact of Deregulation on Stock Market Efficiency

The International Journal of Business and Finance Research, Vol. 4, No. 2, pp. 165-176, 2010

12 Pages Posted: 9 Sep 2010

See all articles by Yen-Hsien Lee

Yen-Hsien Lee

Chung Yuan Christian University

Date Written: 2010

Abstract

This study discusses the gradual shift of the Taiwanese government toward deregulation. Using the traditional variance ratio, nonparametric-based variance ratio tests and a rolling variance ratio test, this study examines the impact of liberalization on market efficiency in Taiwan. The results of the variance ratio test show that the deregulation of the activities of QFIIs is good for Taiwanese market efficiency during the first and third deregulations for foreign investors. Using a fixed-sized rolling window, this study shows that the policy of liberalization helps improve market efficiency, and disproves the weak form of the efficient markets hypothesis. The results of this study have practical implications for regulators wishing to attract international capital into their market in order to help improve market efficiency in emerging markets.

Keywords: variance ratio tests, rolling variance ratio test, foreign deregulation

JEL Classification: C14, G14, G18

Suggested Citation

Lee, Yen-Hsien, The Impact of Deregulation on Stock Market Efficiency (2010). The International Journal of Business and Finance Research, Vol. 4, No. 2, pp. 165-176, 2010, Available at SSRN: https://ssrn.com/abstract=1667137

Yen-Hsien Lee (Contact Author)

Chung Yuan Christian University ( email )

22 Pu-Jen, Pu-chung Li
Chung-Li, 32023
Taiwan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
75
Abstract Views
982
rank
403,955
PlumX Metrics