Advanced Search
MyIDEAS: Login to save this article or follow this journal

Modeling Volatility in Emerging Stock Markets Of India And China

Contents:

Author Info

  • Prashant Joshi

    ()
    (Shrimad Rajchandra Institute of Management and Computer Application, Surat)

Registered author(s):

    Abstract

    The study investigated the stock market volatility in the emerging stock markets of India and China using daily closing price from 1st January, 2005 to 12th May, 2009. The results detect the presence of non-linearity through BDSL test while conditional Heteroscedasticity is identified through ARCH-LM test. The findings reveal that the GARCH(1,1) model successfully captures nonlinearity and volatility clustering. The analysis suggests that the persistence of volatility in Chinese stock market is more than Indian stock market.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.jqe.co.in/journals/JQE_v8_n1_2010_p5.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by The Indian Econometric Society in its journal Journal of Quantitative Economics.

    Volume (Year): 8 (2010)
    Issue (Month): 1 (January)
    Pages: 86-94

    as in new window
    Handle: RePEc:jqe:jqenew:v:8:y:2010:i:1:p:86-94

    Contact details of provider:
    Web page: http://www.jqe.co.in/societyhome.html
    More information through EDIRC

    Order Information:
    Postal: Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA
    Web: http://www.jqe.co.in/

    Related research

    Keywords: Volatility clustering; nonlinearity; BDSL; GARCH;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Sunil Poshakwale & Victor Murinde, 2001. "Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 445-456.
    2. Thierry Ane, 2006. "Short and long term components of volatility in Hong Kong stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(6), pages 439-460.
    3. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:jqe:jqenew:v:8:y:2010:i:1:p:86-94. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (D. M. Nachane) or ().

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.