Financial Liberalization and Emerging Stock Market Volatility

F. Pérez de Gracia and J. Cuñado; J. Gómez
Authors registered in the RePEc Author Service: Javier Gómez Biscarri

No 124, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative methodologies of of endogenous breakpoints detection that estimate the dates at which the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a di¤erent manner over the period

Keywords: emerging markets; volatility; multiple structural breaks (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-fin
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