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Financial Liberalization and Emerging Stock Market Volatility

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  • F. Pérez de Gracia
  • J. Cuñado; J. Gómez

Abstract

In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative methodologies of of endogenous breakpoints detection that estimate the dates at which the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a di¤erent manner over the period

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File URL: http://repec.org/sce2004/up.3052.1077725208.pdf
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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 124.

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Date of creation: 11 Aug 2004
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Handle: RePEc:sce:scecf4:124

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Keywords: emerging markets; volatility; multiple structural breaks;

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