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Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L

  • Juncal Cuñado

    ()

    (School of Economics and Business Administration, University of Navarra)

  • Javier Gómez Biscarri

    ()

    (School of Economics and Business Administration, University of Navarra)

  • Fernando Perez de Gracia

    ()

    (School of Economics and Business Administration, University of Navarra)

In this paper we test whether the dynamic behavior of stock market volatility in six emerging economies has changed over the period 1976:01-2004:12. This period corresponds to years of profound development of both the financial and the productive sides in these emerging countries, but also to the years of the major financial crises. Our analysis suggests that changes in volatility behavior, while indeed present, may have been overstated in the past: simple specifications account for most of the dynamics of stock market volatility and therefore become powerful tools for volatility analysis. Additionally, we show that financial liberalization of emerging markets has generally reduced the level of market volatility and its sensititivity to news.

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File URL: http://www.unav.edu/documents/10174/6546776/1142592768_wp0106.pdf
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 01/06.

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Length: 29 pages
Date of creation: 01 Jan 2006
Date of revision:
Publication status: Published, Emerging Markets Review, 2006, vol. 7: pp. 261-278.
Handle: RePEc:una:unccee:wp0106
Contact details of provider: Web page: http://www.unav.edu/web/facultad-de-ciencias-economicas-y-empresariales

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  9. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004. "Growth Volatility and Financial Liberalization," NBER Working Papers 10560, National Bureau of Economic Research, Inc.
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  12. Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers 353, Princeton, Department of Economics - Econometric Research Program.
  13. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
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