The Recent Behaviour of Financial Market Volatility

Multiscale behaviour of volatility autocorrelations in a financial market

It is well known that stock market returns are uncorrelated on lags larger than a single day, in agreement with the hypothesis of efficient market. On the contrary, absolute returns have memory for longer times; this phenomenon is known in financial literature as clustering of volatility. In ARCH-GARCH models [1–3], volatility memory is longer than a single time step but it decays exponentially...

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 ...

Financial 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...

Political 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...

The Origin of Volatility Cascade of the Financial Market