Volatility in emerging stock markets

Journal of Financial and Quantitative Analysis

Volumn 34, Issue 1, 1999, Pages 33-55

  Aggarwal, Reena ^a   Inclan, Carla ^a   Leal, Ricardo ^b  

^a GEORGETOWN UNIVERSITY   (United States)

^b FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033463842     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676245     Document Type: Article

References (20)

1. Bailey, W., and Y. P. Chung. "Exchange Rate Fluctuations, Political Risk, and Stock Market Returns: Some Evidence from an Emerging Market." Journal of Financial and Quantitative Analysis, 30 (1995), 541-561.
2. Bekaert, G., and C. R. Harvey. "Capital Flows and the Behavior of Emerging Market Equity Returns." Working Paper, Duke Univ. and Stanford Univ. (1998).
3. _. "Emerging Equity Market Volatility." Journal of Financial Economics, 43 (1997a), 29-77.
4. _. "Foreign Speculators and Emerging Equity Markets." Working Paper, Duke Univ. and Stanford Univ. (1997b).
5. _. "Time-Varying World Market Integration." Journal of Finance, 50 (1995), 403-444.
6. De Santis, G., and B. Gerard. "International Asset Pricing and Portfolio Diversification with Time-Varying Risk." Journal of Finance, 5 (Dec. 1997), 1881-1912.
7. De Santis, G., and S. Imrohoroglu. "Stock Returns and Volatility in Emerging Financial Markets. Journal of International Money and Finance, 16 (1997), 561-579.
8. Diebold, F. Empirical Modeling of Exchange Rate Dynamics. Lecture Notes in Economics and Mathematical Systems, New York, NY: Springer-Verlag (1988).
9. Engle, R. F. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation." Econometrica, 50 (1982), 987-1008.
10. Gray, S. F. "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process." Journal of Financial Economics, 42 (1996), 27-62.
11. Harvey, C. "Predictable Risk and Returns in Emerging Market." Review of Financial Studies, 8 (1995), 773-816.
12. Hamilton, J. D. "Analysis of Time Series Subject to Changes in Regime." Journal of Econometrics, 45 (1990), 39-70.
13. Hamilton, J. D., and R. Susmel. "Autoregressive Conditional Heteroscedasticity and Changes in Regime." Journal of Econometrics, 64 (1994), 307-333.
14. Inclan, C., and G. C. Tiao. "Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance." Journal of the American Statistical Association, 89 (1994), 913-923.
15. Kim, E. H., and V. Singal. "Opening up of Stock Markets: Lessons from Emerging Economies." Working Paper, Virginia Tech. (1997).
16. Kim, M.; Y. Oh; and R. Brooks. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing." Journal of Financial and Quantitative Analysis, 29 (1994), 609-631.
17. Lamoureux, C. G., and W. D. Lastrapes. "Persistence in Variance, Structural Change and the GARCH Model." Journal of Business and Economic Statistics, 68 (1990), 225-234.
18. Lastrapes, W. D. "Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application." Journal of Money, Credit, and Banking, 21 (1989), 66-77.
19. Poterba, L., and L. Summers. "The Persistence of Volatility and Stock Market Fluctuations." American Economic Review, 76 (1986), 1142-1151.
20. Susmel, R. "Switching Volatility in Latin American Emerging Equity Markets." Working Paper, Univ. of Houston (1997).