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首页> 外文期刊>Central European Journal of Economic Modelling and Econometrics >Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries
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Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries

机译：新兴股票市场的波动性转变和金融自由化：来自新欧盟成员国的证据

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In this paper, we use weekly stock market data to examine whether the volatility of stock returns of ten emerging capital markets of the new EU member countries has changed since the opening of their capital markets. In particular we are interested in understanding whether there are high and low periods of stock returns volatility and what the degree of correlation across these markets is. We estimate a Markov-Switching ARCH (SWARCH) model proposed by Hamilton and Susmel (1994) and we allow for the possibility that two or three volatility regimes may exist for stock returns volatility. The main finding of the present study is that the high volatility of stock returns of all new EU emerging stock markets is associated mainly with the 1997-1998 Asian and Russian financial crises as well as over the 2007-2009 financial turmoil, while there is a transition to the low volatility regime as they approach the accession to the EU in 2004. It is also shown that the capital flows liberalization process has resulted in an increase in volatility of stock returns in most cases.
机译：在本文中，我们使用每周的股票市场数据来检查新的欧盟成员国的十个新兴资本市场自资本市场开放以来的股票收益波动是否发生了变化。特别是，我们有兴趣了解股票回报波动率的高低期和低期以及这些市场之间的相关程度如何。我们估计了由Hamilton和Susmel（1994）提出的Markov-Switching ARCH（SWARCH）模型，并且考虑了可能存在两个或三个波动率制度的股票收益率波动率。本研究的主要发现是，所有新的欧盟新兴股票市场的股票收益波动很大，主要与1997-1998年亚洲和俄罗斯金融危机以及2007-2009年金融动荡有关，当他们在2004年加入欧盟时过渡到低波动性制度。还显示，资本流动自由化过程在大多数情况下导致股票收益率的波动性增加。

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