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<p>Stock market efficiency play a vital role in the stock market development, yet it is shaped by numerous interrelated factors. This study has linked it with economic freedom, one of the most extensively researched areas of economics. The study used country stock market indices for the period 1995–2024. Based on data availability, ten out of twelve economic freedom index components are linked with time-varying informational efficiency in a unique setting of Asian stock markets. Using the one-step difference GMM dynamic panel regression model, the study finds that eight out of ten variables significantly drive informational efficiency in these stock markets. Although property rights and monetary freedom hinder informational efficiency, TBR and GSP indicates a lack of robust relationship and have contributed poorly. Practical implications of the study include the significant role of economic freedom in influencing the time-varying efficiency of Asian stock markets. Therefore, individual and institutional investors need to consider these aspects while investing and constructing their portfolios on local and international levels.</p>

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Economic Freedom and Market Efficiency: Empirical Evidence from Asian Stock Markets

  • 期刊论文

  • 发表日期：

    2026年8月4日

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  • Bahrawar Said,
  • Muhammad Wajid Raza,
  • Rafiqul Bhuyan

摘要

Stock market efficiency play a vital role in the stock market development, yet it is shaped by numerous interrelated factors. This study has linked it with economic freedom, one of the most extensively researched areas of economics. The study used country stock market indices for the period 1995–2024. Based on data availability, ten out of twelve economic freedom index components are linked with time-varying informational efficiency in a unique setting of Asian stock markets. Using the one-step difference GMM dynamic panel regression model, the study finds that eight out of ten variables significantly drive informational efficiency in these stock markets. Although property rights and monetary freedom hinder informational efficiency, TBR and GSP indicates a lack of robust relationship and have contributed poorly. Practical implications of the study include the significant role of economic freedom in influencing the time-varying efficiency of Asian stock markets. Therefore, individual and institutional investors need to consider these aspects while investing and constructing their portfolios on local and international levels.