The objective of this study is to examine the impact of economic openness on the efficiency of 25 emerging stock markets. By employing two measures of market efficiency, variance ratios with different time lags and short-run reversal returns, we find that in majority of the emerging markets in our sample, there is strong evidence to show that the market efficiency improves with market openness. This effect is robust and stronger when we measure variance ratio with longer horizons. When using the reversal returns to measure efficiency, the results are weaker. However, there is no evidence showing that liberalization of the market would impede the market efficiency. The overall results suggest that market openness reduces a stock price's departure from a random walk.

中文翻译：

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新兴经济体的开放性和效率

本研究的目的是检验经济开放对 25 个新兴股票市场效率的影响。通过采用两种衡量市场效率的方法，即不同时滞的方差比和短期反转收益，我们发现在我们样本中的大多数新兴市场中，有强有力的证据表明市场效率随着市场开放而提高。当我们测量具有较长视野的方差比时，这种影响是稳健和更强的。当使用反转收益来衡量效率时，结果较弱。但是，没有证据表明市场自由化会阻碍市场效率。总体结果表明，市场开放减少了股票价格与随机游走的偏离。