[This paper is no longer available. It has been replaced by paper 07/5: Financial Development, Openness and Institutions: Evidence from Panel Data.] Using cross-country and dynamic panel data techniques on 43 developing countries during 1980 – 2000, we provide evidence which suggests that...

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...