Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Detalhes bibliográficos
Autor(a) principal: Gabriel, Vítor
Data de Publicação: 2015
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10314/2378
Resumo: Financial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using basic GARCH type models. The data were then divided into three different sub-periods to allow the behavior of stock market in different sub-periods to be investigated. The following sub-periods are identified: Dot-Com crisis, Quiet and Subprime crisis. This paper revealed that the Subprime crisis turned out to have bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects.
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spelling Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisisFinancial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using basic GARCH type models. The data were then divided into three different sub-periods to allow the behavior of stock market in different sub-periods to be investigated. The following sub-periods are identified: Dot-Com crisis, Quiet and Subprime crisis. This paper revealed that the Subprime crisis turned out to have bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects.Revista de metodos cuantitativos para la economia y la empresa,2016-06-30T19:34:41Z2016-06-302015-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10314/2378http://hdl.handle.net/10314/2378eng1886-516XGabriel, Vítorinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-14T02:55:14Zoai:bdigital.ipg.pt:10314/2378Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:42:00.896298Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
title Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
spellingShingle Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
Gabriel, Vítor
title_short Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
title_full Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
title_fullStr Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
title_full_unstemmed Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
title_sort Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis
author Gabriel, Vítor
author_facet Gabriel, Vítor
author_role author
dc.contributor.author.fl_str_mv Gabriel, Vítor
description Financial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using basic GARCH type models. The data were then divided into three different sub-periods to allow the behavior of stock market in different sub-periods to be investigated. The following sub-periods are identified: Dot-Com crisis, Quiet and Subprime crisis. This paper revealed that the Subprime crisis turned out to have bigger impact on stock market volatility, namely at sensitivity, persistence and asymmetric effects.
publishDate 2015
dc.date.none.fl_str_mv 2015-06-01T00:00:00Z
2016-06-30T19:34:41Z
2016-06-30
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10314/2378
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url http://hdl.handle.net/10314/2378
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1886-516X
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eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Revista de metodos cuantitativos para la economia y la empresa,
publisher.none.fl_str_mv Revista de metodos cuantitativos para la economia y la empresa,
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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