Stock market volatility in the Philippines

Applied Economics Letters

Volumn 10, Issue 5, 2003, Pages 315-318

  Bautista, C C ^a  

^a UNIVERSITY OF THE PHILIPPINES   (Philippines)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL CRISIS; FINANCIAL MARKET; MARKET CONDITIONS; STOCK MARKET;

PHILIPPINES;

EID: 0037729008     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850210148107     Document Type: Article

References (10)

1. Bautista, C. (2000) Boom-bust cycles and crisis periods in the Philippines: a regime-switching analysis, UP School of Economics Discussion Paper No. 0009.
2. Bekaert, G. and Harvey, C. (1998) Capital flows and the behavior of emerging market equity returns, NBER Working Paper No. 6669.
3. De Dios, E. (1998) Philippine economic growth: can it last?, in The Philippines, New Directions in Domestic Policy and Foreign Relations (Ed.) D. Timberman, Asia Society.
4. De Dios, E. (2000) The boom-bust cycle (will it ever end?), in The Philippine Economy: Alternatives for the 21st Century (Eds) D. Canlas and S. Fujisaki, Institute of Developing Economies, Tokyo.
5. Fabella, R. (1995) Sustainability of the 1994 economic recovery: Portents from the past, in Towards Sustained Growth (Eds) R. Fabella and H. Sakai, Institute of Developing Economies Tokyo.
6. Hamilton, J. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357-84.
7. Hamilton, J. and Susmel, R. (1994) Autoregressive conditional heteroskedasticity and changes in regime, Journal of Econometrics, 64, 307-33.
8. Kim, D. and Kon, S. (1994) Alternative models for the conditional heteroscedasticity of stock returns, Journal of Business, 67, 563-98.
9. Lahiri, K. and Wang, J. (1996) Interest rate spreads as predictors of the business cycle, in Handbook of Statistics 14, Statistical Methods in Finance, Chapter 10. (Eds) G. S. Maddala and C. R. Rao, North-Holland.
10. Schwert, G. W. (1989) Why does stock market volatility change over time?, Journal of Finance, 44, 1115-53.