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Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L

Author

Listed:
  • Juncal Cuñado

    (School of Economics and Business Administration, University of Navarra)

  • Javier Gómez Biscarri

    (School of Economics and Business Administration, University of Navarra)

  • Fernando Perez de Gracia

    (School of Economics and Business Administration, University of Navarra)

Abstract

In this paper we test whether the dynamic behavior of stock market volatility in six emerging economies has changed over the period 1976:01-2004:12. This period corresponds to years of profound development of both the financial and the productive sides in these emerging countries, but also to the years of the major financial crises. Our analysis suggests that changes in volatility behavior, while indeed present, may have been overstated in the past: simple specifications account for most of the dynamics of stock market volatility and therefore become powerful tools for volatility analysis. Additionally, we show that financial liberalization of emerging markets has generally reduced the level of market volatility and its sensititivity to news.

Suggested Citation

  • Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers 01/06, School of Economics and Business Administration, University of Navarra.
    • Handle: RePEc:una:unccee:wp0106
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • 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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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