Supplementary Table: beta_control

The Impact of Liberalizations on the Betas with World Market Returns

A. Intro=ADRs

l

NUMC

CONCR

STDL2

INFL

FXV

XMGDP

CCR

MCAP

STD*

Intro

0.9

0.051

-0.044

0.017

-0.003

-0.616

0.045

0.000

0.401

-0.174

0.007

3.38

-0.59

0.98

-0.46

-3.89

0.89

-0.01

8.94

-1.78

1.84

0.5

0.057

-0.037

0.018

-0.004

-0.596

0.045

0.008

0.421

-0.182

0.008

3.82

-0.49

0.98

-0.50

-3.80

0.89

0.22

9.51

-1.85

0.69

0.1

0.061

-0.039

0.018

-0.004

-0.598

0.048

0.012

0.427

-0.183

0.000

4.14

-0.52

0.98

-0.57

-3.81

0.94

0.32

9.72

-1.86

0.00

B. Intro=Country funds

l

NUMC

CONCR

STDL2

INFL

FXV

XMGDP

CCR

MCAP

STD*

Intro

0.9

0.042

-0.040

0.018

-0.004

-0.609

0.062

0.008

0.414

-0.180

0.016

2.73

-0.55

1.00

-0.62

-3.90

1.28

0.23

9.28

-1.84

2.75

0.5

0.048

-0.023

0.020

-0.004

-0.618

0.058

0.019

0.430

-0.189

0.036

3.30

-0.31

1.10

-0.61

-3.97

1.24

0.57

9.67

-1.94

2.98

0.1

0.057

-0.020

0.021

-0.005

-0.613

0.060

0.020

0.432

-0.191

0.037

3.91

-0.28

1.15

-0.66

-3.93

1.23

0.58

9.82

-1.95

2.34

C. Intro=ADRs and Country Funds

l

NUMC

CONCR

STDL2

INFL

FXV

XMGDP

CCR

MCAP

STD*

Intro

0.9

0.037

-0.040

0.018

-0.002

-0.610

0.048

-0.003

0.395

-0.175

0.013

2.41

-0.55

0.99

-0.32

-3.95

1.02

-0.10

8.73

-1.80

3.45

0.5

0.050

-0.019

0.020

-0.004

-0.610

0.057

0.017

0.432

-0.191

0.030

3.44

-0.26

1.10

-0.59

-3.91

1.19

0.50

9.69

-1.95

2.61

0.1

0.058

-0.022

0.021

-0.005

-0.611

0.061

0.016

0.432

-0.193

0.036

3.94

-0.29

1.16

-0.68

-3.90

1.22

0.46

9.76

-1.95

2.26

D.With Regulatory Liberalization Indicators

NUMC

CONCR

STDL2

INFL

FXV

XMGDP

CCR

MCAP

STD*

PRE

DURING

POST

AFTER

WaldTest

0.038

-0.014

0.018

0.000

-0.597

0.055

0.010

0.403

-0.186

0.001

0.029

0.078

0.088

19.720

2.51

-0.20

1.01

0.00

-3.91

1.22

0.30

8.98

-1.89

0.07

1.64

3.79

3.69

E. With ADR, Country Fund and Regulatory Liberalization Indicators

NUMC

CONCR

STDL2

INFL

FXV

XMGDP

CCR

MCAP

STD*

PRE

DURING

POST

AFTER

WaldTest

0.043

-0.011

0.016

-0.006

-0.665

0.071

0.021

0.411

-0.173

0.004

0.031

0.051

0.092

6.690

2.91

-0.16

0.90

-0.85

-4.26

1.46

0.60

9.27

-1.74

0.28

1.65

2.35

3.71

F. With Cumulative Net Capital Flow Break Points

NUMC

CONCR

STDL2

INFL

FXV

XMGDP

CCR

MCAP

STD*

PRE

DURING

POST

AFTER

WaldTest

0.033

0.015

0.016

-0.004

-0.643

0.072

0.022

0.423

-0.177

0.038

0.059

0.078

0.131

4.420

2.27

0.22

0.91

-0.57

-4.16

1.63

0.68

9.46

-1.82

2.66

3.09

3.63

4.68

Group-wise heteroskedasticity and autocorrelation-consistent t-statistics are reported below the coefficients. In panels A-C, we estimate a time-series cross-sectional estimation with the fitted conditional betas with the world market as the dependent variable. l represents how fast the additional impact of further liberalizations declines. With low ls, additional issues generate almost no additional effect. The Intro variable is defined in the panel title. In panels D-F, we estimate a model with dummy variables around the liberalization definition. In the regressions labeled 'weighted', we weight the dummy variables by the correlation with the world market return before the liberalization. The Wald test is whether the correlation declines from Pre to Post liberalization. All variable definitions are presented in Table 4.