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Financial Liberalization and Emerging Stock Market Volatility

Listed author(s):
  • F. Pérez de Gracia
  • J. Cuñado; J. Gómez

In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative methodologies of of endogenous breakpoints detection that estimate the dates at which the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a di¤erent manner over the period

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File URL: http://repec.org/sce2004/up.3052.1077725208.pdf
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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 124.

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Date of creation: 11 Aug 2004
Handle: RePEc:sce:scecf4:124
Contact details of provider: Web page: http://comp-econ.org/
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  12. repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
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  25. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  26. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
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  30. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
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