آیا آزاد سازی بازار مالی باعث افزایش درجه کارایی بازار می شود؟ مورد بورس آتن

In this paper we assess if the financial market liberalization introduced in the beginning of the 1990s in Greece has changed the degree of market development (efficiency) by studying time-varying global Hurst exponents. Our results suggest that changes in financial market liberalization have important positive implications on the degree of development of stock markets. These results have important policy implications for the development of stock markets around the world.

The past two decades have witnessed an extensive research effort in understanding the impacts of financial market liberalization on the development of financial markets. In the early 1980s and 1990s many emerging markets underwent a set of reform measures to enhance and deepen their financial markets. Recent research has suggested the following benefits from stock market liberalization: 1. It may reduce the country's cost of equity capital by allowing for risk sharing between domestic and foreign agents (Henry, 2000a); 2. capital account liberalization may have a positive impact on investment.1 Therefore, an important topic in the financial research agenda has been to understand the impact of financial market liberalization on the cost of equity, volatility and asset returns, and on investment. Bekaert and Harvey (2000) argue that uncovering these relationships may help on efforts to incorporate emerging markets into global asset allocation models. An important research question is how financial liberalization induces the development of domestic capital markets. The Greek stock market presents an interesting opportunity for such tests, since this market has been liberalized in the end of the 1980s and beginning of the 1990s. The main contributions of this paper are threefold. In the first place we employ a recently introduced methodology (Barabási and Vicsek, 1991 and Di Matteo et al., 2005) to test for structural changes in the degree of market development. Secondly, we innovate in using a “rolling sample” approach, instead of analyzing different periods. Therefore, we do not have to use a “liberalization date,” which is always subject to criticism.2 Finally, we relate structural changes in the degree of equity market development to equity market liberalization and find a positive association between these variables. Our main findings suggest that equity market liberalization plays an important role in enhancing equity market development, which induces decreases in the cost of capital and increases in the productivity of capital and better capital allocation. The paper is organized as follows: section 2 provides a brief literature review. Section 3 describes the methodology associated with testing for time-varying long-range dependence. Section 4 describes the data. Section 5 presents the results of applying the methodology. Finally, section 6 offers a brief conclusion.

This paper presents empirical evidence of strong long-range dependence in the end of the 1980s and beginning of the 1990s for the Greek stock market, prior to financial market liberalization that occurred during that period. However, with the deepening of the liberalization process, generalized Hurst exponents converged to levels which characterize more efficient and developed markets (low evidence of predictability). Furthermore, time-varying Hurst exponents may be seen as evidence of multifractality. Our results suggest that Greek stock returns follow complex patterns and are of a multifractal nature. The convergence of generalized Hurst exponents to random walk provide empirical evidence of the benefits of liberalizing the capital account and portfolio flows. Stock markets may evolve and converge to more mature markets, increasing their degree of efficiency. These effects may reduce the cost of capital for companies that are listed in such countries, providing a better environment for the economy. Furthermore, the reduction of financing costs can lead the economy to a virtuous circle. Further research could focus on other countries and experiences in order to ascertain the impact of financial liberalization on the stock market.