This article examines the relationship between financial liberalization and stock market volatility in Indonesia. By … looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which … coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the …

In this article, we test whether the structure of emerging market volatility has changed and assess the link between … the structural changes in volatility behaviour and financial liberalization events. The opening of financial markets tends … to generate outlying returns around the opening dates, thus giving the appearance of increases in market volatility. We …

-third of these markets exhibit significant day-of-the-week effect on volatility. Third, most of these day-of-the-week effects …