Sociopolitical instability, volatility, and the bid-ask spread: Evidence from the free market for dollars in Poland
This paper provides empirical evidence that the weekly bid-ask spread in the Polish free foreign exchange market is heavily affected by the intensity of sociopolitical unrest in this country. A GARCH model is estimated to study the volatility of the free market for dollars in Poland from the third week of October 1988 to the fourth week of January 1990. This period is interesting and important because it includes social and political events under two different government regimes. Empirical evidence suggests that significant sociopolitical turmoil appears to increase the volatility of the market and consequently create substantial changes in the spread. The results of this paper may represent valuable information for other reforming countries. Copyright Kluwer Academic Publishers 1995
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.:
- Melvin, Michael & Tan, Kok-Hui, 1996. "Foreign Exchange Market Bid-Ask Spreads and the Market Price of Social Unrest," Oxford Economic Papers, Oxford University Press, vol. 48(2), pages 329-41, April.
- Bollerslev, Tim & Melvin, Michael, 1994. "Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis," Journal of International Economics, Elsevier, vol. 36(3-4), pages 355-372, May.
- 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.
- Melvin, Michael & Shiau, Chin-Duu, 1990. "Property Rights, Development, and Velocity in Developing Countries," Economic Development and Cultural Change, University of Chicago Press, vol. 38(4), pages 821-32, July.
- Glassman, Debra, 1987. "Exchange rate risk and transactions costs: Evidence from bid-ask spreads," Journal of International Money and Finance, Elsevier, vol. 6(4), pages 479-490, December.
- Boothe, Paul M, 1988. "Exchange Rate Risk and the Bid-Ask Spread: A Seven Country Comparison," Economic Inquiry, Western Economic Association International, vol. 26(3), pages 485-92, July.
- Goodhart, C. A. E. & Figliuoli, L., 1991. "Every minute counts in financial markets," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 23-52, March.
- Blomberg, S Brock, 1996.
"Growth, Political Instability and the Defence Burden,"
London School of Economics and Political Science, vol. 63(252), pages 649-72, November.
- Stephen Brock Blomberg, 1992. "Growth, political instability, and the defense burden," International Finance Discussion Papers 436, Board of Governors of the Federal Reserve System (U.S.).
- S. Brock Blomberg, 1994. "Growth, political instability and the defense burden," Research Paper 9420, Federal Reserve Bank of New York.
- Roubini, Nouriel & Swagel, Phillip & Ozler, Sule & Alesina, Alberto, 1996.
"Political Instability and Economic Growth,"
4553024, Harvard University Department of Economics.
- Alesina, Alberto, et al, 1996.
" Political Instability and Economic Growth,"
Journal of Economic Growth,
Springer, vol. 1(2), pages 189-211, June.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Copeland, Thomas E & Galai, Dan, 1983. " Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 38(5), pages 1457-69, December.
When requesting a correction, please mention this item's handle: RePEc:kap:openec:v:6:y:1995:i:3:p:225-236. 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: (Sonal Shukla)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.