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Supplementary Table: vol_control |
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The Impact of Liberalizations on Volatility |
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A.Intro=ADRs |
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l |
NUMC |
CONCR |
STDL2 |
INFL |
FXV |
XMGDP |
CCR |
MCAP |
STD* |
Intro |
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|
0.9 |
0.038 |
0.282 |
0.198 |
0.121 |
1.085 |
0.365 |
0.025 |
-0.131 |
1.344 |
-0.020 |
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|
0.902 |
1.507 |
3.639 |
5.328 |
3.039 |
2.040 |
0.316 |
-1.406 |
3.610 |
-2.096 |
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|
0.5 |
0.031 |
0.256 |
0.199 |
0.126 |
1.136 |
0.409 |
0.023 |
-0.143 |
1.341 |
-0.045 |
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|
0.705 |
1.370 |
3.657 |
5.568 |
3.192 |
2.307 |
0.300 |
-1.505 |
3.601 |
-1.456 |
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|
0.1 |
0.014 |
0.245 |
0.198 |
0.128 |
1.134 |
0.430 |
0.022 |
-0.171 |
1.355 |
-0.036 |
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|
0.343 |
1.317 |
3.630 |
5.700 |
3.189 |
2.440 |
0.289 |
-1.824 |
3.641 |
-0.818 |
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B. Intro=Country funds |
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l |
NUMC |
CONCR |
STDL2 |
INFL |
FXV |
XMGDP |
CCR |
MCAP |
STD* |
Intro |
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0.9 |
-0.017 |
0.237 |
0.199 |
0.130 |
1.117 |
0.429 |
-0.001 |
-0.199 |
1.352 |
0.006 |
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-0.374 |
1.264 |
3.641 |
5.717 |
3.137 |
2.433 |
-0.014 |
-2.211 |
3.637 |
0.497 |
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|
0.5 |
-0.008 |
0.264 |
0.197 |
0.124 |
1.129 |
0.451 |
-0.028 |
-0.188 |
1.311 |
0.013 |
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-0.188 |
1.421 |
3.662 |
5.385 |
3.144 |
2.561 |
-0.352 |
-2.028 |
3.582 |
0.436 |
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0.1 |
-0.003 |
0.274 |
0.195 |
0.121 |
1.149 |
0.464 |
-0.032 |
-0.183 |
1.307 |
0.021 |
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-0.074 |
1.478 |
3.645 |
5.223 |
3.159 |
2.633 |
-0.387 |
-1.982 |
3.584 |
0.475 |
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C. Intro=ADRs and Country Funds |
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l |
NUMC |
CONCR |
STDL2 |
INFL |
FXV |
XMGDP |
CCR |
MCAP |
STD* |
Intro |
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0.9 |
0.011 |
0.258 |
0.199 |
0.129 |
1.104 |
0.439 |
0.024 |
-0.179 |
1.352 |
-0.005 |
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0.237 |
1.378 |
3.650 |
5.654 |
3.113 |
2.506 |
0.306 |
-1.929 |
3.637 |
-0.565 |
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0.5 |
-0.019 |
0.260 |
0.196 |
0.126 |
1.129 |
0.454 |
-0.029 |
-0.199 |
1.318 |
0.027 |
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-0.437 |
1.406 |
3.649 |
5.463 |
3.147 |
2.585 |
-0.354 |
-2.155 |
3.599 |
0.963 |
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0.1 |
-0.020 |
0.278 |
0.196 |
0.123 |
1.138 |
0.476 |
-0.041 |
-0.191 |
1.310 |
0.063 |
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-0.465 |
1.504 |
3.658 |
5.289 |
3.140 |
2.690 |
-0.500 |
-2.071 |
3.588 |
1.461 |
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D. With Regulatory Liberalization Indicators |
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NUMC |
CONCR |
STDL2 |
INFL |
FXV |
XMGDP |
CCR |
MCAP |
STD* |
PRE |
DURING |
POST |
AFTER |
WaldTest |
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-0.005 |
0.236 |
0.205 |
0.132 |
1.061 |
0.472 |
0.020 |
-0.184 |
1.325 |
-0.018 |
-0.003 |
0.004 |
-0.013 |
0.210 |
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|
-0.115 |
1.238 |
3.721 |
5.653 |
2.979 |
2.701 |
0.254 |
-1.967 |
3.540 |
-0.462 |
-0.056 |
0.080 |
-0.194 |
0.645 |
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Weighted |
-0.017 |
0.224 |
0.203 |
0.133 |
1.058 |
0.477 |
0.024 |
-0.200 |
1.342 |
-0.015 |
0.031 |
0.037 |
0.045 |
0.380 |
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-0.380 |
1.179 |
3.679 |
5.656 |
2.945 |
2.745 |
0.298 |
-2.183 |
3.588 |
-0.225 |
0.352 |
0.392 |
0.383 |
0.540 |
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E. With ADR, Country Fund and Regulatory Liberalization Indicators |
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NUMC |
CONCR |
STDL2 |
INFL |
FXV |
XMGDP |
CCR |
MCAP |
STD* |
PRE |
DURING |
POST |
AFTER |
WaldTest |
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-0.012 |
0.255 |
0.194 |
0.122 |
1.124 |
0.481 |
-0.025 |
-0.179 |
1.323 |
0.040 |
0.050 |
0.088 |
0.067 |
0.970 |
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-0.282 |
1.361 |
3.597 |
5.161 |
3.034 |
2.706 |
-0.290 |
-1.877 |
3.614 |
0.983 |
0.954 |
1.620 |
1.052 |
0.325 |
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|
Weighted |
-0.013 |
0.253 |
0.193 |
0.122 |
1.138 |
0.475 |
-0.009 |
-0.186 |
1.333 |
0.072 |
0.085 |
0.139 |
0.117 |
0.630 |
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-0.295 |
1.354 |
3.579 |
5.154 |
3.047 |
2.682 |
-0.104 |
-1.998 |
3.642 |
1.022 |
0.940 |
1.470 |
1.065 |
0.428 |
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F. With Cumulative Net Capital Flow Break Points |
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NUMC |
CONCR |
STDL2 |
INFL |
FXV |
XMGDP |
CCR |
MCAP |
STD* |
PRE |
DURING |
POST |
AFTER |
WaldTest |
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|
-0.029 |
0.220 |
0.200 |
0.131 |
1.173 |
0.466 |
-0.017 |
-0.198 |
1.316 |
0.048 |
0.011 |
0.075 |
0.052 |
0.240 |
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-0.707 |
1.178 |
3.675 |
5.768 |
3.231 |
2.678 |
-0.201 |
-2.026 |
3.554 |
1.088 |
0.197 |
1.294 |
0.702 |
0.624 |
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Weighted |
-0.059 |
-0.102 |
0.312 |
0.192 |
0.798 |
0.428 |
0.050 |
-0.151 |
1.230 |
0.123 |
0.071 |
0.181 |
0.089 |
0.330 |
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-1.215 |
-0.385 |
4.653 |
7.012 |
2.119 |
1.767 |
0.536 |
-1.429 |
2.833 |
1.502 |
0.669 |
1.683 |
0.639 |
0.568 |
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Group-wise heteroskedasticity and autocorrelation-consistent t-statistics are reported below the coefficients. In panels A-C, we estimate a time-series cross-sectional estimation with the fitted conditional volatility as the dependent variable. l represents how fast the additional impact of further liberalizations declines. With low ls, additional issues generate almost no additional effect. The Intro variable is defined in the panel title. In panels D-F, we estimate a model with dummy variables around the liberalization definition. In the regressions labeled 'weighted', we weight the dummy variables by the correlation with the world market return before the liberalization. The Wald test is whether the volatility declines from Pre to Post liberalization. All variable definitions are presented in Table 4. |
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