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Modeling Volatility in Emerging Stock Markets Of India And China

  • Prashant Joshi

    ()

    (Shrimad Rajchandra Institute of Management and Computer Application, Surat)

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    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.

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    File URL: http://www.jqe.co.in/journals/JQE_v8_n1_2010_p5.pdf
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    Article provided by The Indian Econometric Society in its journal Journal of Quantitative Economics.

    Volume (Year): 8 (2010)
    Issue (Month): 1 (January)
    Pages: 86-94

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    Handle: RePEc:jqe:jqenew:v:8:y:2010:i:1:p:86-94
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    1. 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.
    2. 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.
    3. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    4. 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.
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