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
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)
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Journal Article: La dynamique de la volatilité boursière autour de l’ouverture des marchés de capitaux (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cai:ecoldc:ecop_192_0065
Access Statistics for this article
More articles in Economie & Prévision from La Documentation Française
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().