Regime-switching volatility of six East Asian emerging markets

被引：36

作者：

Wang, Ping ^{[1
]}

Theobald, Mike ^{[1
]}

机构：

[1] Univ Birmingham, Birmingham Business Sch, Birmingham B15 2TT, W Midlands, England

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2008年 / 22卷 / 03期

关键词：

Volatility; Regime switching; Asian stock markets;

D O I：

10.1016/j.ribaf.2007.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates regime-switching behaviour in the return-generating processes of six East Asian emerging stock markets over the period from 1970 to 2004 and examines the specific characteristics of each regime by utilizing Markov-switching variance models. The results show very strong evidence of more than one regime in each of these stock markets. In addition, the conditional probabilities of each regime derived from the model provide mixed evidence regarding the impact of financial liberalization on return volatility. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：267 / 283

页数：17

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