The Impact Of Equity Market Opening On The Return Volatility:Experience From Selected Asian Emerging Economies

Economy and finance integration is an inevitable trend, especially for financial liberalization. Capital account opening is the key content in financial liberalization and financial opening, while the opening of stock market is the most important step in capital account opening. Since the launch of Shanghai-Hong Kong stock connect program, the stock index for A-share has went through catastrophically high volatility over the past years, and financial risk showed without obscure. This thesis means to learn from other countries to draw experience for our country.This thesis first reviews relative foreign and domestic papers over the past twenty years and summarizes several key points. In the empirical study, this article selects India, Korea, Thailand and Malaysia as the representation of Asian emerging markets that have accomplished stock market liberalization, then applies autoregressive conditional heteroskedasticity model in the researches for the features of stock index's return volatility before, during and after liberalization respectively, next analyzes the four stock markets' liberalization progress and market conditions thoroughly, finally puts forward several suggestions for our country.Empirical researches and case study shows:(1) progressive liberalization is more suitable for emerging economies with weak market basic conditions; (2) stock market internationalization should be launched progressively under corresponding financial reforms like exchange rate liberalization; (3) a healthy macroeconomy environment, high efficient accounting and legislation system and highly-developed financial sector function as the guarantees for the increase of market efficiency after stock market opening; (4) financial supervision shouldn't be relaxed after stock market opening, meanwhile, the quality of financial institutions and professionals shall be enhanced at the same time.