Structural Changes of the Conditional Volatility of the Portuguese Stock Market

Benilde Maria do Nascimento Oliveira () and Manuel Jose da Rocha Armada
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Benilde Maria do Nascimento Oliveira: University of Minho, Portuga
Manuel Jose da Rocha Armada: University of Minho, Portugal

Multinational Finance Journal, 2005, vol. 9, issue 3-4, 189-214

Abstract: This paper examines the impact of the introduction of the futures market, on the volatility of the underlying Portuguese stock market. The simple analysis of variance is only the first step to a later undertaking of a much more robust methodology which involves the application of a GARCH model, with the main purpose of studying some potential changes on the structure of the conditional volatility of the Portuguese stock market. The results for the Portuguese market are not identical to those generally found internationally. The initial and simple analysis of variance seems to suggest a strong increase in the level of volatility. When a GARCH model is applied, with the main purpose of studying the evolution of the structure of the conditional volatility, a reduction in market efficiency, measured by its ability to quickly incorporate new information, is identified.

Keywords: Index futures; conditional volatility; information; GARCH (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:9:y:2005:i:3-4:p:189-214

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