An empirical analysis of structural changes in emerging market volatility
In this paper, two different stability tests in linear frameworks are used to examine the presence of structural changes in the GARCH-based conditional volatility of emerging market countries. We particularly relate this issue to the market liberalization reforms undertaken by these countries over the last three decades. Empirical results show that structural breaks detected in emerging market volatility do not happen together with official liberalization dates, but they rather coincide with dates of the first American Depository Receipt (ADR) and Country Fund introduction, and with dates of huge increases in the US capital flows into emerging countries. This leads to reinforce the findings of related literature on that emerging markets do react essentially to alternative events of official liberalizations.
Volume (Year): 6 (2008)
Issue (Month): 10 ()
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