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

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  • Walid Chkili

    ()
    (International Finance Group, El Manar University, Tunisia)

  • Duc Khuong Nguyen

    ()
    (ISC Paris School of Management, France)

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.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P103.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 2 ()
Pages: 1105-1113

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Handle: RePEc:ebl:ecbull:eb-10-00742

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Keywords: Stock return volatility; Markov regime-switching model; Mediterranean stock markets;

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  1. Lagoarde-Segot, Thomas & Lucey, Brian M., 2007. "International portfolio diversification: Is there a role for the Middle East and North Africa?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(5), pages 401-416, December.
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Cited by:
  1. Cristi SPULBAR & Mihai NITOI & Cristian STANCIU, 2012. "Identifying The Industry Business Cycle Using The Markov Switching Approach In Central And Eastern Europe," Management and Marketing Journal, University of Craiova, Faculty of Economics and Business Administration, University of Craiova, Faculty of Economics and Business Administration, vol. 0(2), pages 293-300, November.
  2. Chkili, Walid & Nguyen, Duc Khuong, 2014. "Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, Elsevier, vol. 31(C), pages 46-56.

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