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La dynamique de la volatilité boursière autour de l’ouverture des marchés de capitaux

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  • Duc Khuong Nguyen

Abstract

[eng] We employ a bivariate AR (1)-GARCH(1,1) model of stock-market returns to empirically investigate the effects of financial liberalization on stock-market volatility in selected emerging countries. The main advantage of such a model is that it takes account of the ongoing integration of emerging economies into the world financial system. Our results suggest that stock-market volatility in selected emerging countries did not increase significantly over the post-liberalization period even when control variables are introduced. In addition, some emerging markets registered a marginal decrease in volatility when they experienced a massive rise in inflows of U.S. capital. The results also point to the existence of long-run relationships between financial liberalization and emerging-market volatility. [fre] Cet article examine l’impact de la libéralisation sur l’évolution de la volatilité des marchés boursiers de certains pays émergents à partir d’un modèle AR (1)-GARCH(1,1) bivarié. La particularité de ce modèle est qu’il permet la prise en compte de l’intégration progressive des marchés émergents au système financier mondial. Les résultats obtenus suggèrent que la volatilité des marchés étudiés n’a pas augmenté significativement sur la période suivant la libéralisation financière, et ce même après la prise en compte des variables de contrôle. De plus, la volatilité tend à décliner dans certains marchés lors d’importants afflux de capitaux américains. Les résultats mettent également en évidence l’existence des liens à long terme entre la libéralisation et la volatilité.

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  • Duc Khuong Nguyen, 2010. "La dynamique de la volatilité boursière autour de l’ouverture des marchés de capitaux," Économie et Prévision, Programme National Persée, vol. 192(1), pages 65-82.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2010_num_192_1_8022
    DOI: 10.3406/ecop.2010.8022
    Note: DOI:10.3406/ecop.2010.8022
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    2. Alhaj-Yaseen, Yaseen S. & Rao, Xi & Jin, Yinghua, 2017. "Market liberalization and the extent of informed trading: Evidence from China’s equity markets," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 78-99.

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