This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility. …

is correlated across countries with lower average stock market volatility, crises are more frequent in countries with … investment fall by more in countries with poor creditor protection. -- liquidity crisis ; creditor protection ; stock volatility …