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Has liberalization Increased Philippine stock Market Volatility? / Jamil Paolo S. Francisco 6 6 - - - Vol. 8 2009- . - - - - - . - . - 0 . - . - 0 .

ABSTRACT : This research study the historical volatility of returns in the Philippine stock market from January 1984 to January 2004 to determine whether liberalization had increased the volatility of stock returns. Liberalization is seen to have opened up the market to a greater number and an increased participation of speculative investors who rely on imperfect information in making investment decisions. This leads to huge price swings whenever new information arrives. The empirical study confirms the hypothesis, with the coefficient of the post-liberalization variable receiving a statistically significant, positive value.





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