The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
Volatility in Emerging Stock Markets
Open accessAbstract
This study examines the daily, weekly, and monthly behavior of volatility in emerging stock markets in local currency and in dollar-adjusted returns. An iterated cumulative sums of squares methodology is used to identify the points and magnitude of shocks/sudden changes in the unconditional variance of returns in each market. Both increases and decreases in the variance are identified. The high volatility in emerging markets is not simply continuous, but is marked by shocks. The large changes in volatility seem to be related to important country-specific political, social and economic events. These events 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 “global event” in the last decade that caused a significant jump in the volatility of several emerging stock markets. After accounting for these shocks, ARCH/GARCH effects are considerably reduced.
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Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Time‐Varying World Market Integration
BEKAERT, G., & HARVEY, C. R. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04790.x · Cited by 2,049
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Autoregressive conditional heteroskedasticity and changes in regime
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Emerging equity market volatility
Bekaert, G., & Harvey, C. R. (1997) · Journal of Financial Economics · doi:10.1016/s0304-405x(96)00889-6 · Cited by 1,664
Modeling the conditional distribution of interest rates as a regime-switching process
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Persistence in Variance, Structural Change, and the GARCH Model
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Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
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Predictable Risk and Returns in Emerging Markets
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Predictable Risk and Returns in Emerging Markets
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Cited by
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
The profitability of moving average trading rules in South Asian stock markets
Gunasekarage, A., & Power, D. M. (2001) · Emerging Markets Review · doi:10.1016/s1566-0141(00)00017-0 · Cited by 178
Governance and stock market performance
Hooper, V., Sim, A. B., & Uppal, A. (2009) · Economic Systems · doi:10.1016/j.ecosys.2009.03.001 · Cited by 87
Hasanov, A. S., Burkhanov, A. U., Usmonov, B., Khajimuratov, N. S., & Khurramova, M. M. Q. (2024) · Energy · doi:10.1016/j.energy.2024.130535 · Cited by 43
Metadata
- Authors
- Aggarwal, R., Inclan, C., & Leal, R.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1999-03
- Volume
- 34
- Issue
- 1
- Pages
- 33
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W3124454571
- Cited by
- 734
- References
- 18
- FWCI
- 25.29
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
