Review of Quantitative Finance and Accounting

, Volume 37, Issue 2, pp 181–205

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

  • Benjamas Jirasakuldech
  • Donna M. Dudney
  • Thomas S. Zorn
  • John M. Geppert
Original Research


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


Financial disclosure Market behavior Random walk Rational bubbles 

JEL Classification

M41 G14 F37 


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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Benjamas Jirasakuldech
    • 1
  • Donna M. Dudney
    • 2
  • Thomas S. Zorn
    • 3
  • John M. Geppert
    • 4
  1. 1.School of BusinessSlippery Rock University of PennsylvaniaSlippery RockUSA
  2. 2.College of Business AdministrationUniversity of Nebraska-Lincoln CBA RM 241LincolnUSA
  3. 3.College of Business AdministrationUniversity of Nebraska-Lincoln CBA RM 231LincolnUSA
  4. 4.College of Business AdministrationUniversity of Nebraska-Lincoln CBA RM 229LincolnUSA

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