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Financial Liberalization and Emerging Stock Market Volatility

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  • F. Pérez de Gracia
  • J. Cuñado; J. Gómez

Abstract

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

Suggested Citation

  • F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.
  • Handle: RePEc:sce:scecf4:124
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    References listed on IDEAS

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    More about this item

    Keywords

    emerging markets; volatility; multiple structural breaks;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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