This paper proposes a new statistical procedure which aims at providing robust estimates of volatility around official liberalisation dates, by using data driven techniques to identify the number and timing of structural breaks in the variance dynamics of stock market returns. The paper...

This paper examines the short and medium term impact of financial reforms on stock market volatility in five East Asian emerging markets. Several newly proposed tests are employed to identify and verify the number and timing of structural breaks in the variance dynamics. The detected breakdates...