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In this article, we test whether the structure of emerging market volatility has changed and assess the link between the structural changes in volatility behaviour and financial liberalization events. The opening of financial markets tends to generate outlying returns around the opening dates, thus giving the appearance of increases in market volatility. We include outlier detection methodologies in our location of endogenous breaks in order to filter out this effect. Our results suggest that changes in volatility behaviour have indeed been induced by financial liberalization of emerging markets, but the change is not always in the same direction: Latin American countries have enjoyed lower volatility whereas Asian countries seem to have suffered increases in market instability. Additionally, all markets become more subject to occasional large shocks.
