search query: @author Choudhry, T. / total: 5
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| Author: | Choudhry, T. |
| Title: | Stock market volatility and the crash of 1987: evidence from six emerging markets |
| Journal: | Journal of International Money and Finance
1996 : DEC, VOL. 15:6, p. 969-981 |
| Index terms: | MONEY INTERNATIONAL FINANCE |
| Language: | eng |
| Abstract: | This paper studies volatility, risk premia and the persistence of volatility in six emerging stock markets before and after the 1987 stock market crash. The empirical investigation is conducted by means of the GARCH in the mean model (GARCH-M) and monthly data from Argentina, Greece, India, Mexico, Thailand, and Zimbabwe between january of 1976 and August of 1994. Results indicate changes in the ARCH parameter, risk premia and persistence of volatility before and after the 1987 crash. |
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