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In the early 1980's several developing countries introduced liberalisation policies in their economies. One of the reforms they implemented was to develop their stock markets. The theoretical justification for the liberalisation process was provided by the work of McKinnon (1973) and Shaw (1973). Their model follows neo-classical assumptions on savings and investment. Other researchers later completed their model with respect to the stock market, and claimed that its development could benefit the emerging economies [Cho (1986)]. The aim of this thesis is to empirically examine if stock market development in a sample of emerging countries assisted economic growth or not. To examine this, we form three research questions. The first question is: what is the direct impact of stock market development on economic growth in developing countries? The second question refers to the indirect impact of stock market development on the economy via stock price volatility. The question is: has stock market volatility increased following liberalisation policies or not? The third question is: have the emerging stock markets become more integrated with each other and with developed markets following liberalisation? Stock market integration is a result of stock market development so we should expect these stock markets to become more integrated after they were liberalised. In examining these issues, we take into account the special circumstances surrounding each country. To this end we provide an overview of some of the emerging economies we examine and discuss the implications of their individual characteristics for our analysis. We carry out a literature survey which suggests that research in this area has been scarce. The few empirical evidence on these questions are mixed. This thesis aims to contribute to this growing literature by providing additional evidence on the questions we posed and by overcoming some of the problems which are inherent in the methodologies followed by previous researchers who examined these issues.

Thesis(PhDBusinessandManagement)--University of South Australia, 2002.

This study demonstrates that financial analysts significantly affect short-term stock prices, by examining how non-accounting information particularly contained in analysts' forecasts contributes to the fluctuation of future stock returns. If current non-accounting information of future earnings is more unfavourable or more volatile, we could observe a larger shift in the current stock return. The empirical evidence strongly supports these theoretical predictions that stem from the combination of the accounting version of Campbell-Shiller model (Campbell and Shiller (1988) and Vuolteenaho (2002)) and Ohlson????s information dynamics (1995). In addition, the results are also valid for measures of both systematic and idiosyncratic volatilities.

We employ the Reuters database to compare execution costs for 2,330 matched-pair securities across the top 7 equity markets in the Dow Jones STOXX Global 1800 Index. This sample encompasses a wide variety of thirteen market design features. In addition, we investigate execution costs well beyond the most heavily traded stocks to include equities in the sixth through tenth deciles of traded value. Our findings indicate that full transparency of the limit order book to investors and a composite of unique NYSE features (but not the presence of the crowd) unequivocally reduce effective spreads. In contrast, a fully transparent limit order book revealed to brokers, the presence of a market maker, or the mixture of execution systems present on the LSE sharply increase effective spreads in both thickly and thinly-traded stocks. The effect of a physical trading floor is statistically significant but relatively small; it increases effective spreads slightly for thickly-traded firms, and reduces them for thinly-traded stocks. The findings for price impact are the same with three exceptions. First, the presence of a trading floor increases costs, dramatically so for thinlytraded stocks. Second, a fully transparent limit order book for brokers raises price impact for thickly traded stocks, but lowers price impacts for thinly traded firms. Third, in thinly-traded stocks, London???s hybrid market decreases price impact, and in thickly-traded stocks, crowd trading on the NYSE and full transparency to investors decrease price impact. Finally, the results for realised spread are essentially the same as those for effective spread, with the exception that the effect of the presence of a trading floor is to reduce realised spreads. Overall, the London Stock Exchange is the highest execution cost market, and the NYSE is the lowest. This research includes a market-specific study of the effect on execution cost of the Liquidity Provider of Euronext Paris. Euronext Paris affords a natural experimental research design because a third of firms have Liquidity Providers and two thirds do not. Results indicate quoted spreads, effective spreads and realized spreads are significantly affected by the presence of a Liquidity Provider, but price impacts are not. On the one hand, this suggests that the thickly-traded stocks where the Liquidity Providers are prohibited have sufficient liquidity in their absence. On the other hand however, liquidity providers on Euronext Paris reduce effective and realised spreads in essentially all stocks. This finding suggests that the limit order book refreshes much more quickly after developing an imbalance of large size orders when Liquidity Providers can facilitate other liquidity suppliers in assessing picking off risk. The Liquidity Provider increases quoted spreads for thickly-traded firms from the first three traded value deciles while reducing quoted spreads for the lower deciles.

Bibliography: leaves 403-420. / xviii, 420 leaves : ill. ; 30 cm. / Title page, contents and abstract only. The complete thesis in print form is available from the University Library. / Thesis (Ph.D.)--University of Adelaide, School of Economics, 2001

Thesis (Ph.D.)--The University of Utah, 2007. / Adviser: Hank Bessembinder. Includes bibliographical references.

Thesis (Ph.D.)--York University, 2006. Graduate Programme in Education. / Typescript. Includes bibliographical references (leaves 189-205). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:NR19800

Thesis (M.S.)--Virginia Polytechnic Institute and State University, 1990. / Vita. Abstract. Includes bibliographical references (leaves 55-56). Also available via the Internet.