Abstract
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 home country. Further, we find evidence that less regulation and less government control of markets in the home country leads to more stable ADR prices.
| Original language | English |
|---|---|
| Pages (from-to) | 182-196 |
| Number of pages | 15 |
| Journal | Journal of International Money and Finance |
| Volume | 41 |
| DOIs | |
| State | Published - Mar 2014 |
| Externally published | Yes |
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All Science Journal Classification (ASJC) codes
- Economics and Econometrics
- Finance
Cite this
Economic freedom and the stability of stock prices : A cross-country analysis. / Blau, Benjamin M.; Brough, Tyler J.; Thomas, Diana W.
In: Journal of International Money and Finance, Vol. 41, 03.2014, p. 182-196.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Economic freedom and the stability of stock prices
T2 - A cross-country analysis
AU - Blau, Benjamin M.
AU - Brough, Tyler J.
AU - Thomas, Diana W.
PY - 2014/3
Y1 - 2014/3
N2 - 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 home country. Further, we find evidence that less regulation and less government control of markets in the home country leads to more stable ADR prices.
AB - 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 home country. Further, we find evidence that less regulation and less government control of markets in the home country leads to more stable ADR prices.
UR - http://www.scopus.com/inward/record.url?scp=84891682244&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84891682244&partnerID=8YFLogxK
U2 - 10.1016/j.jimonfin.2013.12.001
DO - 10.1016/j.jimonfin.2013.12.001
M3 - Article
AN - SCOPUS:84891682244
VL - 41
SP - 182
EP - 196
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
SN - 0261-5606
ER -