A TRIPARTITE INQUIRY INTO FINANCIAL LIBERALISATION–VOLATILITY–INFORMATION ASYMMETRY NEXUS: GLOBAL PANEL APPROACH

The study investigates the dynamic linkages in the troika of financial liberalisation, volatility, and information asymmetry across emerging and developed economies. We defined and categorised the emerging and developed economies following the guidelines of the International Monetary Fund (2016). We considered an equal ratio of ten-is-to-ten emerging and developed economies in the panel framework to study the linkages in the troika. We employed financial liberalisation as a natural phenomenon to examine the dynamic linkages in the troika. Further, we examined the dynamic linkages in the troika across the liberalistion, post-liberalisation, and liberalisation plus post-liberalisation phases of the financial liberalisation phenomenon. First, we employed generalised autoregressive conditional heteroskedastic-type (GARCH) models to retrieve the return volatility series during the various financial liberalisation phases for emerging and developed economies. Second, we employed the threshold GARCH model to estimate the asymmetric effect in return volatility for emerging and developed economies. We used daily, weekly, and monthly panel datasets of emerging and developed economies, and an aggregate level depicting the global position, across the various phases of the financial liberalisation phenomenon to estimate the parameters of interest.