investigacionPublicaciones_tit

Publicaciones

Publicaciones

Publicador de contenidos

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

WPnull/06 Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L
Download (477 Kb)

Authors

  • Juncal Cuñado (jcunado@unav.es)
    School of Economics and Business Administration, University of Navarra
  • Javier Gómez Biscarri (jgbiscarri@iese.edu)
    School of Economics and Business Administration, University of Navarra
  • Fernando Perez de Gracia (fgracia@unav.es)
    School of Economics and Business Administration, University of Navarra

Abstract
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.

Classification JEL:C32; G15; F36

Number of Pages:29

Creation Date:2006-01-01

Number:null/06

contacto-publicaciones_raul_bajo

Contacto

Raúl Bajo

Raúl Bajo

Campus Universitario

31009 Pamplona, España

+34 948 42 56 00

banner-revistas

Biblioteca para investigadores

+ info