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Regime-switching volatility of six East Asian emerging markets

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  • Wang, Ping
  • Theobald, Mike

Abstract

This paper investigates regime-switching behaviour in the return-generating processes of six East Asian emerging stock markets over the period from 1970 to 2004 and examines the specific characteristics of each regime by utilizing Markov-switching variance models. The results show very strong evidence of more than one regime in each of these stock markets. In addition, the conditional probabilities of each regime derived from the model provide mixed evidence regarding the impact of financial liberalization on return volatility.

Suggested Citation

  • Wang, Ping & Theobald, Mike, 2008. "Regime-switching volatility of six East Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 22(3), pages 267-283, September.
  • Handle: RePEc:eee:riibaf:v:22:y:2008:i:3:p:267-283
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