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An empirical analysis of structural changes in emerging market volatility

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  • Duc NGUYEN

    (ISC Paris School of Management)

Abstract

In this paper, two different stability tests in linear frameworks are used to examine the presence of structural changes in the GARCH-based conditional volatility of emerging market countries. We particularly relate this issue to the market liberalization reforms undertaken by these countries over the last three decades. Empirical results show that structural breaks detected in emerging market volatility do not happen together with official liberalization dates, but they rather coincide with dates of the first American Depository Receipt (ADR) and Country Fund introduction, and with dates of huge increases in the US capital flows into emerging countries. This leads to reinforce the findings of related literature on that emerging markets do react essentially to alternative events of official liberalizations.

Suggested Citation

  • Duc NGUYEN, 2008. "An empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 6(10), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-08f30004
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    References listed on IDEAS

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    Cited by:

    1. William Shambora & Shamila Jayasuriya, 2008. "The world is shrinking: Evidence for stock market convergence," Economics Bulletin, AccessEcon, vol. 7(14), pages 1-12.
    2. repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS
    3. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen [The Halting Problem applied to Structural Breaks in Financial Time Series]," MPRA Paper 37072, University Library of Munich, Germany.
    4. Todea, Alexandru & Platon, Diana, 2012. "Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 38-51, June.
    5. Julijana Angelovska, 2013. "Detecting Positive Feedback Trading when Autocorrelation is Positive," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 16(1), pages 93-101, May.

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    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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