search query: @author Aggarwal, R. / total: 40
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| Author: | Aggarwal, R. |
| Title: | Volatility in emerging stock markets |
| Journal: | Journal of Financial and Quantitative Analysis
1999 : MAR, VOL. 34:1, p. 33-56 |
| Index terms: | VOLATILITY STOCK MARKETS FINANCIAL ANALYSIS |
| Language: | eng |
| Abstract: | This study examines the kinds of events that cause large shifts in the volatility of emerging stock markets. The authors first determine when large changes in the volatility of emerging stock market returns occur and then examine global changes and local events (social, political, and economic) during the periods of increased volatility. An uterated cumulative sums of squares (ICSS) algorithm is used to identify the points of shock/sudden changes in the variance of returns in each market and how long the shift lasts. |
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