منابع مشابه
Political Uncertainty, Financial Crisis, and Market Volatility
This paper examines the impact of political uncertainty on financial crises using a panel of twenty-two emerging markets. By examining political election cycles, we find that eight out of nine of the financial crises happened during the periods of political election and transition. Using a combination of probit and switching regression analysis, we find that there is a significant relationship ...
متن کاملFinancial Liberalization and Emerging Stock Market Volatility
In this paper we review the factors that may lead to structural changes in stock market volatility and present an analysis that assesses whether emerging stock market volatility has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative metho...
متن کاملPolitical Risk, Financial Crisis, and Market Volatility
This paper examines the impact of political uncertainty on the recent financial crises in emerging markets. By examining political election cycles, we find that eight out of nine of the recent financial crises happened during periods of political election and transition. Using a combination of probit and switching regression analysis, we find that there is a significant relationship between pol...
متن کاملForecasting Financial Volatility: Evidence from Chinese Stock Market
Volatility models and their forecasts are of interest to many types of economic agents, especially for financial risk management. Since 1982 when Engle proposed the Autoregressive Conditionally Heteroscedastic (ARCH) model, there have emerged numerous models for forecasting volatility. Given the vast number of models available, agents must decide which one to use. This paper explores a number o...
متن کاملCohesiveness in Financial News and its Relation to Market Volatility
Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the in...
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ژورنال
عنوان ژورنال: Intereconomics
سال: 1996
ISSN: 0020-5346,1613-964X
DOI: 10.1007/bf02927152