Because of in most developing countries economic variable like stock index and also economic liberalization are not in the capacities that are needed, so with emphasis on economic liberalization we can provide the area for improving the performance of financial markets especially increase in the stock index in the country. The purpose of this article is to analyze the role of economic liberalization on the performance of financial markets in some developing countries with emphasis on financial and monetary liberalization using panel vector autoregressive (P-VAR) analysis covering the period 1986-2009. The results indicate the significant effect of each variable discussed on the stock price in exchange market. Base on the results of the current study, economic policy makers are recommended to establish sustainable efforts for the exchange interaction in the country with other international financial markets, so that the capital market can be able to achieve the excellence level in the region by providing a dynamic policy and help to financial growth of countries in stock exchange, promote the country’s financial market and consequently improve the country’s economy.

JEL Classification Codes: A10, A12, C01, E44