2003•Unpublished venueRequires access
Financial Liberalization and Emerging Stock Market Volatility
Juncal Cuñado, Javier Gómez Biscarri, Gracia Hidalgo
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Abstract
In this paper we review the factors that may lead to structural changes in stock market volatility and present an analysis that assesses whether emerging stock market volatility has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative methodologies of endogenous breakpoint detection that estimate the dates at which the behavior of stock market volatility changed. The analysis suggests that volatility has behaved in a different manner over the period.