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The impact of settlement time on the volatility of stock market revisited: an application of the iterated cumulative sums of squares detection method for changes of variance

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  • Bwo-Nung Huang
  • Chin-Wei Yang
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    Abstract

    Volatility changes before and after a major event cannot be effectively modelled without considering the impact of other events during the sample period. This paper reexamines the impact of settlement time changes on the volatility change in the Shanghai and Shenzhen Stock Exchange by Li et al. (1997) via the iterated cumulative sums squares (ICSS) method developed by Inclan and Tiao. This study detected three other events during the sample period (two before and one after the structural break). After removing these factors, it is found that change in settlement time does not impact the volatility of the stock returns in a noticeable way.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 8 (2001)
    Issue (Month): 10 ()
    Pages: 665-668

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    Handle: RePEc:taf:apeclt:v:8:y:2001:i:10:p:665-668

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    Cited by:
    1. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    2. Miralles Marcelo, Jose Luis & Quiros, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2008. "Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 1-15, February.

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