Regime-Switching in Emerging Stock Market Returns
Kodjovi G. Assoe
Additional contact information
Kodjovi G. Assoe: Ecole des Hautes Etudes Commerciales, Canada
Multinational Finance Journal, 1998, vol. 2, issue 2, 101-132
Abstract:
Many emerging markets have experienced significant changes in government policies and capital market reforms. These changes may lead to changes in their return-generating processes. Based on Markov-switching models, this paper investigates whether there is more than one regime in the return-generating processes of nine emerging markets and the specific characteristics of each regime. The results show very strong evidence of regime-switching behavior in emerging stock market returns. The two regimes through which emerging markets evolve are different whether one takes the domestic investors' perspective or that of foreign investors. For foreign investors, changes in volatility seem to be the main characteristic of emerging market regimes. The implications of these findings for the stability of emerging stock markets are discussed.
Keywords: emerging markets; regime-switching; international investment (search for similar items in EconPapers)
JEL-codes: F21 F30 G12 G15 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (14)
Downloads: (external link)
http://www.mfsociety.org/modules/modDashboard/uplo ... 3014vfhord73utu3.pdf
http://www.mfsociety.org/modules/modDashboard/uplo ... ogleScholar/649.html
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:2:y:1998:i:2:p:101-132
Access Statistics for this article
Multinational Finance Journal is currently edited by Panayiotis C. Andreou
More articles in Multinational Finance Journal from Multinational Finance Journal Contact information at EDIRC.
Bibliographic data for series maintained by Theodossiou Panayiotis (mfj@mfsociety.org).