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

Juncal Cuñado (), Javier Gómez Biscarri and Fernando Pérez de Gracia ()
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Juncal Cuñado: School of Economics and Business Administration, University of Navarra
Authors registered in the RePEc Author Service: Juncal Cuñado ()

No 01/06, Faculty Working Papers from 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.

JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2006-01-01
New Economics Papers: this item is included in nep-fin and nep-fmk
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Citations: View citations in EconPapers (27)

Published, Emerging Markets Review, 2006, vol. 7: pp. 261-278.

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Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp0106

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