La dynamique de la volatilité boursière autour de l'ouverture des marchés de capitaux

Duc Khuong Nguyen

Economie & Prévision, 2010, vol. n° 192, issue 1, 65-82

Abstract: We employ a bivariate AR(1)-GARCH(1,1) model of stock-market returns to empirically investigate the effects of financial liberalization on stock-market volatility in selected emerging countries. The main advantage of such a model is that it takes account of the ongoing integration of emerging economies into the world financial system. Our results suggest that stock-market volatility in selected emerging countries did not increase significantly over the post-liberalization period even when control variables are introduced. In addition, some emerging markets registered a marginal decrease in volatility when they experienced a massive rise in inflows of U.S. capital. The results also point to the existence of long-run relationships between financial liberalization and emerging-market volatility.

Keywords: emerging markets; financial liberalization; market volatility; bivariate GARCH (search for similar items in EconPapers)
Date: 2010
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Journal Article: La dynamique de la volatilité boursière autour de l’ouverture des marchés de capitaux (2010)
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