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Asian Review of Financial Research Vol.18 No.2 pp.209-237
Emerging Stock Market Liberalization and its Real Impacts on Stock Returns
Hyunchul Chung Faculty of Business and Economics, Dankook University, Seoul, KOREA
Key Words : 주가상승효과(Revaluation effect),자본시장개방,이머징마켓,국제자본자산가격결정모형(ICAPM)


We investigate the impact of market opening to foreign investors in 12 emerging markets using firm-level data as well as market-level data. As International Capital Asset Pricing Model (ICAPM) predicts, our results show apparent revaluation effects after market liberalization. More importantly, the results show significantly different impact based on firm size, which is used as a proxy for foreign investors' demand. Large firms, believed to be preferred by foreign investors, show much larger revaluation effect than small firms. This study eventually provide a better understanding of the market liberalization, especially using the firm-level data we could understand the real market liberalization impact based on the real demand from foreign investors.
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