Volatility in Emerging Stock Markets

Aggarwal, Reena; Inclán, Carla; Leal, Ricardo Pereira Câmara

doi:10.2139/ssrn.1689711

Cited by 157 publications

(207 citation statements)

References 35 publications

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“…The ICSS approach assumes that return series exihibit a stationary variance over an initial period until a sudden change in variance occurs and then stationary again for a time until the next sudden change. This process is repeated through time, yielding a number of changes in the variance (Aggarwal et al, 1999). …”

Section: Identifying Crisis Datesmentioning

confidence: 99%

“…If there are no changes in variance over the sample period, the D k statistic oscillates around zero and asymptotically, behaves as a standard Brownian motion (Inclan and Tiao, 1994). 5 If there are one or more sudden variance changes in the series, the D k values drift either up or down from zero (Aggarwal et al, 1999). 6 Sanso et al (2004) offer modifications to the ICSS algorithm incorporating heteroskedasticity and fourth moment properties of financial data.…”

Section: Identifying Crisis Datesmentioning

confidence: 99%

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Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies

2014

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The global financial crisis (2007)(2008)(2009)) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion effects originating in US equity markets to equity markets in both the advanced and emerging economies. In the aggregate equity market indices contagion from the US explains a large portion of the variance in stock returns in both advanced and emerging markets. However, evidence from the financial sector indices finds less evidence of contagion than the total indices, and this is particularly the case for the developed markets. This suggests that contagion effects are not strongly related to high levels of global integration.

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Section: Identifying Crisis Datesmentioning

confidence: 99%

Section: Identifying Crisis Datesmentioning

confidence: 99%

Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies

2014

View full text Add to dashboard Cite

show abstract

“…Aggarwal, Inclan, and Leal (1995); Bekaert andHarvey (1995, 1997); Buckberg (1995) ;Claessens, Dasgupta, and Glen (1995);Harvey (1995); Korajczyk (1996);and DeSantis and Imrohoroglu (1997).…”

Section: Sample Descriptionmentioning

confidence: 99%

Stock Market Openings: Experience of Emerging Economies

Kim¹,

Singal²

2000

J BUS

392

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“…Throughout the paper we refer to ∆p t as returns, given that our data series is adjusted for dividends, though it literally corresponds to capital gains. Most of the parallel studies (Pagan and Sossounov, 2003;Aggarwal et al, 1999) use capital gains of dividend adjusted prices, and we follow that approach. Two ancillary statistics can then be calculated: Total time spent in an expansion is P T t=1 S t and total time spent in a contraction is P T t=1 B t .…”

Section: Describing Bull and Bear Phasesmentioning

confidence: 99%

Stock market cycles and stock market development in Spain

Biscarri

Gracia

2004

Spanish Economic Review

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In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period . We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided in two subperiods in order to account for differences induced by the process of development undergone by Spanish capital markets in the late 1980's and early 1990's. We find that the Spanish stock market has become increasingly more similar to those of the more developed countries, although some differences still persist. Additionally, we show that concordance of the Spanish stock market with other developed markets has increased quite significantly.JEL classification: C22, G15

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Volatility in Emerging Stock Markets

Cited by 157 publications

References 35 publications

Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies

Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies

Stock Market Openings: Experience of Emerging Economies

Stock market cycles and stock market development in Spain

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