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Modeling the volatility of Mediterranean stock markets: a regime-switching approach

Walid Chkili and Duc Khuong Nguyen

Economics Bulletin, 2011, vol. 31, issue 2, 1105-1113

Abstract: In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010. Our results show strong evidence of regime shifts in each of these markets. We also find that the Mediterranean developed markets are less affected by international market events such as Asian and Russian financial crisis than emerging markets.

Keywords: Stock return volatility; Markov regime-switching model; Mediterranean stock markets (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2011-04-15
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