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Author
Sokalska Magdalena (Szkoła Główna Handlowa w Warszawie)
Title
Common Volatility in Emerging Market Equity Returns
Source
Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, 2004, nr 2, Cz. 2, s. 61-71, rys., tab., bibliogr. 21 poz.
Issue title
Rynek kapitałowy: skuteczne inwestowanie
Keyword
Rynki wschodzące, Stopa zwrotu, Kapitał, Zmienność
Emerging markets, Rate of return, Capital, Variability
Note
summ.
Abstract
The major question investigated in the literature on emerging markets is whether financial liberalisation resulted in any significant changes in the stock returns processes. Although average returns seem to have decreased after liberalisation, as documented by Richards (1996), Bekaert and Harvey (2003), there is no uniform impact on the magnitude of volatility. The fact that there has been no clear tendency for an increase or a decrease in the magnitude of standard deviations of developing countries' equity returns gives no indication about the so called commonality of conditional variance or stochastic variance. This paper uses the unobserved components framework to investigate the commonality in the volatility process in emerging markets equity returns from the end of 1980s until 2003. Following Harvey, Ruiz and Shephard (1994), we construct a multivariate stochastic volatility model. We decompose returns on regional equity indices into components and investigate how they evolve in time. We find that stochastic volatility components in emerging market regional equity indices exhibited high correlation over the whole analysed period. We also find evidence of a substantially increased comovement of the analysed components coinciding with a period of liberalisation of financial markets in developing countries.(original abstract)
Accessibility
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Szczecin University Main Library
Bibliography
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  18. Pajor A. (2001). Modele stochastycznej zmienności: Estymacja metodą quasi-największej wiarygodności. Przegląd Statystyczny. 48( I). p. 203-224.
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ISSN
1640-6818
1733-2842
Language
eng
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