Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial Liberalization

• Autores: Juncal Cuñado Eizaguirre, Javier Gomez Biscarri, Fernando Pérez de Gracia Hidalgo
• Localización: Working Papers ( Universidad de Navarra. Facultad de Ciencias Económicas y Empresariales ), Nº. 1, 2006
• Idioma: inglés
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• Resumen

  • In this paper we test whether the dynamic behavior of stock market volatility in six emerging economies has changed over the period 1976:01-2004:12. This period corresponds to years of profound development of both the financial and the productive sides in these emerging countries, but also to the years of the major financial crises. Our analysis suggests that changes in volatility behavior, while indeed present, may have been overstated in the past: simple specifications account for most of the dynamics of stock market volatility and therefore become powerful tools for volatility analysis. Additionally, we show that financial liberalization of emerging markets has generally reduced the level of market volatility and its sensititivity to news.