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US stock market volatility persistence: evidence before and after the burst of the IT bubble

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  • J. Cuñado
  • L. Gil-Alana
  • F. Gracia

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  • J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
    • Handle: RePEc:kap:rqfnac:v:33:y:2009:i:3:p:233-252
    DOI: 10.1007/s11156-009-0111-5
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    12. Luis Gil-Alana & Juncal Cunado & Fernando Perez De Gracia, 2008. "Stochastic volatility in the Spanish stock market: a long memory model with a structural break," The European Journal of Finance, Taylor & Francis Journals, vol. 14(1), pages 23-31.
    13. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
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    20. John Elder & Hyun J. Jin, 2007. "Long memory in commodity futures volatility: A wavelet perspective," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(5), pages 411-437, May.
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    27. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
    28. Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006. "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business 06-20, Osaka University, Graduate School of Economics.
    29. Hiemstra, Craig & Jones, Jonathan D., 1997. "Another look at long memory in common stock returns," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 373-401, December.
    30. Barkoulas, John T. & Baum, Christopher F., 1996. "Long-term dependence in stock returns," Economics Letters, Elsevier, vol. 53(3), pages 253-259, December.
    31. Charles P. Jones & Mark D. Walker & Jack W. Wilson, 2004. "Analyzing Stock Market Volatility Using Extreme‐Day Measures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(4), pages 585-601, December.
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    Citations

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    Cited by:

    1. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    2. Oussama Tilfani & My Youssef El Boukfaoui, 2020. "Multifractal Analysis of African Stock Markets During the 2007–2008 US Crisis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-31, January.
    3. Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
    4. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets," MPRA Paper 54177, University Library of Munich, Germany.
    5. Nikiforos Laopodis, 2010. "Dynamic linkages between monetary policy and the stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 271-293, October.
    6. Yoshie Saito, 2012. "The demand for accounting information: young NASDAQ listings versus S&P 500 NYSE listings," Review of Quantitative Finance and Accounting, Springer, vol. 38(2), pages 149-175, February.

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    More about this item

    Keywords

    Volatility; Bull market; Bear market; Long range dependence; Absolute returns; Squared returns; G10; G12; C32;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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