اصلاحات مالی و میکروسکوپی متغیر با زمان در بازارهای سهام در حال ظهور

This paper seeks to investigate the impact of financial reforms on time-varying microstructures in emerging equity markets. We develop annual indicators of informational efficiency, market volatility and transaction costs, using daily data for a panel of 28 emerging markets over the 1996–2007 period. We then analyze the impact of insider trading regulations, trading system automation and accounting standardization on microstructures through a set of panel regressions controlling for financial development and simultaneous reforms. Our results suggest that emerging market microstructures are affected by economic and political context, are strongly related to one another and depend on specific institutional reforms.

Recent empirical literature has focused on the relationship between specific institutional reforms and equity market development in an effort to determine the optimal financial reform sequence in emerging countries. In a seminal paper de la Torre et al. (2007), highlighted how the introduction of electronic trading, the enforcement of insider trading laws and pension system reforms foster the development of emerging capital markets. Similarly, Yartey and Adjasi (2007) underlined the importance of electronic trading, regional partnerships and accounting regulations for equity market development and integration in Africa. In addition to market size and international linkages, it may nonetheless be argued that the effect of equity trading on economic development also depends on microstructures such as informational efficiency, volatility and liquidity levels (Ngugi et al., 2004). Efficient stock prices are indeed necessary for an efficient allocation of savings. By conveying information through price signals, they allow agents to diversify risks, thereby decreasing risk premia for domestically listed firms (Wang et al., 2009). Unbiased equity prices may also serve as a conduit for improved corporate governance when used as managerial incentives (Stulz, 1999). High volatility deters investor participation, thereby impeding the development of emerging capital markets (Schill, 2004). It also significantly increases capital costs and reduces the level of investment in segmented emerging markets in which risk premia depend on domestic risks (Bekaert and Harvey, 1997). Finally, adequate liquidity allows companies to enjoy permanent access to capital raised through equity issues. Liquidity makes investment less risky by allowing savers to acquire and sell assets rapidly without affecting stock prices, thereby decreasing risk premia and the cost of capital while increasing the level of investment (Bekaert et al., 2001). Liquidity levels also determine the ability of market participants to incorporate information flows into their trading orders, thereby increasing efficiency (Demirguc-Kunt and Levine, 1996). Analyzing the impact of specific reforms on efficiency, volatility and transaction costs may thus provide an additional indication as to how an optimal sequencing of policy decisions could be attained. For instance, Ghosh and Revilla (2007) showed that the availability of stock lending and short selling, as well as legal guarantees for minority shareholders, is conducive to market liquidity and efficiency. The objective of this paper is to contribute to this body of literature by investigating the within-country determinants of emerging market microstructures, accounting for both market development variables and specific reforms. The remainder of the paper is structured as follows: Section 2 presents our database. Section 3 develops a battery of recursive microstructure indicators. Section 4 investigates the impact of specific reforms on these indicators by means of panel regressions. Finally, Section 5 brings together our conclusions.

The objective of this paper was to investigate time-varying efficiency, volatility and trading costs in emerging markets, in an attempt to provide additional indications as to how an optimal sequencing of capital market reforms may be attained. Three conclusions may be drawn from this analysis. First, it seems that emerging markets microstructures are affected by the economic context. More particularly, we found that time-varying volatility and transaction costs were impacted by financial crises. This suggests that economic systems and international financial integration may have consequences for emerging market microstructures. Second, the elements of market microstructure appear to be interrelated. More particularly, we detected a positive correlation between transaction costs and volatility on the one hand, and a negative association between transaction costs and efficiency on the other. While the analysis of causality relationships remains open for further research, this suggests that policy makers should adopt a holistic approach when designing equity markets development programs. Third, our panel regressions suggest that internal market development reforms seeking to increase market capitalization and to consolidate the domestic financial service industry have an impact on market microstructures by increasing efficiency, while simultaneously diminishing volatility and transaction costs. Meanwhile, international portfolio flows may diminish volatility (possibly through an investor-base broadening effect) at the cost of lower informational efficiency (possibly due to the speculative nature of those investments), suggesting that the sequencing of full capital account liberalization should be monitored carefully. Turning to the analysis of specific reforms, we found that the enforcement of insider trading regulations contributes to increasing informational efficiency, while the automation of trading systems may improve efficiency and liquidity, at the cost of higher volatility. Finally, the standardization of accounting procedure does not seem to significantly alter market microstructures. These results are unchanged by the implementation of simultaneous reforms, suggesting that specific reforms do have a marginal impact on microstructures. Future research might increase the scope of this analysis by extending the set of markets reforms analyzed. We could also investigate the relationship between market microstructures and the domestic equity risk premium. Finally, the causality relationships uniting the various components of market microstructures need to be clarified.