How volatile are East Asian stocks during high volatility periods?

Carlos Bautista

Applied Economics Letters, 2005, vol. 12, issue 5, 319-326

Abstract: This study reports estimates of the magnitude of volatility during abnormal times relative to normal periods for seven East Asian economies using a rudimentary univariate Markov-switching ARCH method. The results show that global and regional events such as the 1990 Gulf War and the 1997 Asian currency crisis led to high volatility episodes whose magnitude relative to normal times differ from country to country. Country-specific events such as the opening up of country borders in the mid-1990s are also observed to lead to high volatility periods. Additional insights are obtained when volatility is assumed to evolve according to a three-state Markov regime switching process.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:12:y:2005:i:5:p:319-326

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850500044138

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().