Financial disclosure, investor protection and stock market behavior: an international comparison

摘要: The main purpose of this study is to examine the relationship between financial opacity, investor protection and stock market behavior for sixteen countries. We use 1995 CIFAR corporate disclosure ratings 2006 World Bank index measure a country’s relative level transparency legal investors. return each country examined using numerous time series tests such as serial correlation, Markov chain, runs, duration dependence variance ratio tests. found that results show no significant differences high low However, countries appear be associated with lower volatility. Cox proportional hazard test indicate extreme returns (positive negative) are more likely in