کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1002328 937404 2008 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Financial liberalization and changes in the dynamic behaviour of emerging market volatility: Evidence from four Latin American equity markets
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Financial liberalization and changes in the dynamic behaviour of emerging market volatility: Evidence from four Latin American equity markets
چکیده انگلیسی

This paper examines whether the dynamic behaviour of stock market volatility for four Latin American stock markets (Argentina, Brazil, Chile and Mexico) and a mature stock market, that of the US, has changed during the last two decades. This period corresponds to years of significant financial and economic development in these emerging economies during which several financial crises have taken place. We use weekly data for the period January 1988 to July 2006 and we conduct our analysis in two parts. First, using the estimation of a Dynamic Conditional Correlation model we find that the short-term interdependencies between the Latin America stock markets and the developed stock market strengthened during the Asian, Latin American and Russian financial crises of 1997–1998. However, after the initial period of disturbance they eventually returned to almost their initial (relatively low) levels. Second, the estimation of a SWARCH-L model reveals the existence of more than one volatility regime and we detect a significant increased volatility during the period of crisis for all the markets under examination, although the capital flows liberalization process has only caused moderate shifts in volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 22, Issue 3, September 2008, Pages 362–377
نویسندگان
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