Download or read book Switching Volatility in Emerging Stock Markets written by Georgios P. Kouretas and published by . This book was released on 2008 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed as a result of their accession in the EU. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and the degree of correlation across these markets. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crisis while there is a transition to the low volatility regime as they approach the accession to EU in 2004.
Download or read book Regime Switching in Emerging Stock Market Returns written by Kodjovi Assoe and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many emerging markets have experienced significant changes in government policies and capital market reforms. These changes may lead to changes in their return-generating processes. Based on Markov-switching models, this paper investigates whether there is more than one regime in the return-generating processes of nine emerging markets and the specific characteristics of each regime. The results show very strong evidence of regime-switching behavior in emerging stock market returns. The two regimes through which emerging markets evolve are different whether one takes the domestic investors' perspective or that of foreign investors. For foreign investors, changes in volatility seem to be the main characteristic of emerging market regimes. The implications of these findings for the stability of emerging stock markets are discussed.
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Download or read book Volatility and Openness of Emerging Markets written by Vince Hooper and published by . This book was released on 1996 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Download or read book Volatility Spillovers and Contagion from Mature to Emerging Stock Markets written by John Beirne and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-12-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
Download or read book Opening Up of Stock Markets by Emerging Economies written by Ŭng-han Kim and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2010-11-18 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
Download or read book Modelling Return and Volatility in Emerging Stock Markets written by Dimitris Kenourgios and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies stock market time varying performance in a Markov environment between four emerging Balkan stock markets, namely, Turkey, Romania Croatia and Bulgaria, and two developed markets, the U.S. and Greece. We employ: a) an exogenous Markov regime-switching methodology where the time variation of returns is modeled to capture short term dynamics; b) a Markov switching vector autoregression methodology to model jumps in volatility regimes. Our findings provide evidence on time varying return dependence and volatility regime linkages between Balkan and developed stock markets.
Download or read book Volatility in Emerging Stock Markets written by Reena Aggarwal and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines what kinds of events cause large shifts in the volatility of emerging stock markets. We first determine when large changes in the volatility of emerging stock market returns occur and then examine global and local events (social, political, and economic) during the periods of increased volatility. An iterated cumulative sums of squares (ICSS) algorithm is used to identify the points of shocks/sudden changes in the variance of returns in each market and how long the shift lasts. Both increases and decreases in the variance are identified. We then identify events around the time period when shifts in volatility occur. Most events tend to be local and include the Mexican Peso crisis, periods of hyperinflation in Latin America, the Marcos-Aquino conflict in the Philippines, and the stock market scandal in India. The October 1987 crash is the only quot;global eventquot; during the period 1985-1995 that caused a significant jump in the volatility of several emerging stock markets.
Download or read book Volatility Dependence and Contagion in Emerging Equity Markets written by Sebastian Edwards and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we use weekly stock market data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are, in general, short-lived, lasting from two to twelve weeks. We find strong evidence of volatility co-movements across countries, especially among the Mercosur countries.
Download or read book Volatility and Predictability in National Stock Markets written by Anthony J. Richards and published by International Monetary Fund. This book was released on 1996-04 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper also tests for the predictability of long-horizon returns in emerging markets. While there is evidence for positive autocorrelation in returns at horizons of one or two quarters, the autocorrelations appear to turn negative at horizons of a year or more. However, the magnitude of the apparent return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries. In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors.
Download or read book Volatility in Emerging Stock Markets Revisited written by Michel Dubois and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the issue of detecting permanent shifts in the volatility of emerging stock market indexes returns. We show that standard tests have no power in disentangling conditional heteroscedasticity versus jumps in the variance of stock returns. We propose two methods to detect jumps in the variance when there is conditional heteroscedasticity. The first one is based on the properties of temporal aggregation of GARCH (1, 1) models. The second one consists in filtering the stock returns series with a GARCH (1, 1) model in conjunction with the ICSS algorithm. We show that jumps in variance are less frequent than previously believed. Moreover, the jumps are country specific so that they can be diversified.
Download or read book Regime Shifts and Volatility in BRIICKS Stock Markets written by Wasim Ahmad and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the regime shifts and stock market volatility in the stock market returns of seven emerging economies popularly called as 'BRIICKS' which stands for Brazil, Russia, India, Indonesia, China, South Korea and South Africa, over the period from February, 1996 to January, 2012 by applying Markov regime switching in mean-variance model. The employed model finds two regimes in each of these markets. The identified regimes are further utilized in formulating the asset allocation strategies based on market synchronization and Sharpe ratio. The results suggest that BRIICKS is not a homogeneous asset class and each market should be independently evaluated in terms of its regime switching behavior, volatility persistence and level of synchronization with other emerging markets. The study finally concludes that Russia, India and China as the best assets to invest within this emerging market basket which can be pooled with a mature market portfolio to achieve further benefits of risk diversification.
Download or read book Switching Volatility in International Equity Markets written by Raul Susmel and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze the behavior of time-varying volatility, when structural changes are allowed in international stock markets. We use a recent model developed by Hamilton and Susmel (1994), the SWARCH model, which is a more general specification than the popular ARCH model. We fit an exponential SWARCH (E-SWARCH) model to eight series of weekly returns from international stock markets. Under the SWARCH model, we find that ARCH and asymmetric effects are significantly reduced. We also find, however, that when compared to a standard GARCH-t model, the benefits of a SWARCH model are marginal. Using the ability of the Hamilton (1989) filter to date states, we use the switching model to date volatility states. We compare these states and conclude that with the exception of Japan and the U.K., and the U.S. and Canada, the domestic volatility states tend to be independent of foreign volatility states. For these two pairs, we find evidence for common volatility states.
Download or read book Market Deregulations Volatility and Spillover Effects written by Duc Khuong Nguyen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impact of stock market liberalizations on the volatility of emerging markets and volatility spillover effects between these markets and stock markets of the United Stated and Japan. First, our results reinforce previous findings in that emerging markets tend to generate higher volatility than developed markets. Moreover, some of the sudden changes in emerging market volatility appeared to be often associated with financial liberalizations. However, when we explicitly test the relationships between financial liberalization and volatility using regression analysis, we found conflicting results about the sign of financial liberalization effects. Second, we found that stock volatility is substantially transmitted among sample markets, especially between emerging markets of the same geographical location. It is also demonstrated that the multilateral transmission of volatility only increases slightly after liberalization programs. Finally, it is worth notifying that shocks to volatility in emerging markets, rather than those to volatility in the US and Japanese markets constitute a dominant source of return variability in foreign stock markets.
Download or read book Stock Return Volatility and Market Crisis in Emerging Economies written by Nidal Rashid Sabri and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead to instability of emerging markets. The study covers a sample of five geographical areas of emerging economies, including Mexico, Korea, South Africa, Turkey, and Malaysia. It used the backward multiple-regression technique to examine the relationship between monthly changes of stock price indices as dependent variable and the associated predicting local as well as international variables, which represent possible causes of increasing price volatility and initiating crises in emerging stock markets. The study covered monthly data for a period of forty-eight months from January 1997 to December 2000. The study revealed that stock trading volume and currency exchange rate respectively represent the highest positive correlation to the emerging stock price changes; thus represent the most predicting variables of increasing price volatility. International stock price index, deposit interest rate, and bond trading volume were moderate predicting variables for emerging stock price volatility. While changes in inflation rate showed the least positive correlation to stock price volatility, thus represents the least predicting variable.
