Modeling Volatility in Emerging Stock Markets Of India And China
The study investigated the stock market volatility in the emerging stock markets of India and China using daily closing price from 1st January, 2005 to 12th May, 2009. The results detect the presence of non-linearity through BDSL test while conditional Heteroscedasticity is identified through ARCH-LM test. The findings reveal that the GARCH(1,1) model successfully captures nonlinearity and volatility clustering. The analysis suggests that the persistence of volatility in Chinese stock market is more than Indian stock market.
Volume (Year): 8 (2010)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.jqe.co.in/societyhome.html|
More information through EDIRC
|Order Information:|| Postal: Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
- T. Ane, 2006. "Short and long term components of volatility in Hong Kong stock returns," Post-Print hal-00170780, HAL.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Thierry Ane, 2006. "Short and long term components of volatility in Hong Kong stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(6), pages 439-460.
- Sunil Poshakwale & Victor Murinde, 2001. "Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 445-456.
When requesting a correction, please mention this item's handle: RePEc:jqe:jqenew:v:8:y:2010:i:1:p:86-94. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (D. M. Nachane)or ()
If references are entirely missing, you can add them using this form.