The study examines the troika of financial liberalisation–volatility–information asymmetry to explore the linkage between financial liberalisation and return volatility across the globe. The financial liberalisation phenomenon was studied across three phases: liberalisation, post-liberalisation, and liberalisation plus post-liberalisation. The results indicate that volatility surged during the liberalisation phase for emerging economies, whereas it significantly declined during the post-liberalisation period. A declining pattern of volatility was observed during the post-liberalisation phase for developed economies. The conditional and unconditional volatility measures were highest during the liberalisation phase for emerging economies, whereas both the volatility measures were higher during the combined liberalisation phase for developed economies. There was evidence of negative asymmetric shock that lowered the volatility in emerging economies, in developed economies, and at the aggregate level.
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