Economic freedom and the stability of stock prices: A cross-country analysis

被引：32

作者：

Blau, Benjamin M. ^{[1
]}

Brough, Tyler J. ^{[1
]}

Thomas, Diana W. ^{[1
]}

机构：

[1] Utah State Univ, Huntsman Sch Business, Dept Econ & Finance, Logan, UT 84322 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2014年 / 41卷

关键词：

ADRs; Economic freedom; Stock return volatility; FINANCIAL-MARKETS; GROWTH;

D O I：

10.1016/j.jimonfin.2013.12.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the link between economic freedom and the price stability of individual securities in a unique setting. Using a sample of 327 American Depositary Receipts (ADRs), we find an inverse relation between the economic freedom of a ADRs' home country and the price volatility of the ADR. This negative correlation is driven primarily by certain components of economic freedom, such as property right protection, the soundness of the money, and the level of free trade in the borne country. Further, we find evidence that less regulation and less government control of markets in the home country leads to more stable ADR prices. (C) 2013 Elsevier Ltd. All rights reserved.

引用

页码：182 / 196

页数：15

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