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Volatility in Emerging Stock Markets by Reena Aggarwal, Carla Inclan, Ricardo P. C. Leal :: SSRN

Please refer to this blog post for more information. This paper studies the sudden changes in volatility of the five most traded shares on the Bucharest Stock Exchange Financial Investment Companies, by using the ICSS algorithm proposed by Inclan and Tiao Events leading to unexpected changes in variance are predominantly local ones; the only significant global event, with negative influence on the volatility regime is the evolution of foreign markets in , following the global financial crisis.

In terms of persistence in volatility, it is found that the false long memory effect is gone when the dummy variables associated to events that have caused sudden changes in volatility are incorporated in the GARCH model.

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Longbing Cao | University of Technology Sydney

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Volatility in Emerging Stock Markets on JSTOR

Author links open the author workspace. Opens the author workspace Opens the author workspace Daiana Petrescu.

Department of Finance, Faculty of Economics and Business Administration, Babes-Bolyai University, Teodor Mihali , Cluj Napoca, Romania.

Under a Creative Commons license. Abstract This paper studies the sudden changes in volatility of the five most traded shares on the Bucharest Stock Exchange Financial Investment Companies, by using the ICSS algorithm proposed by Inclan and Tiao Romanian Financial Investment Companies. Download full text in PDF.

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