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Purpose
The purpose of this paper is to investigate the relationships between the Index of Economic Freedom, equity market performance and its volatility.
Design/methodology/approach
The paper examines whether the level of economic freedom is significant for a country's stock market performance and volatiling.
Findings
Regression results show that adjusted stock returns bear little relationship with economic freedom. On the other hand, economic freedom is associated with lower stock market volatility.
Originality/value
The results imply that a country with greater economic freedom provides investors with better mean‐variance investment efficiency.
© Emerald Group Publishing Limited
2009
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