Sensitivity, persistence and asymmetric efects 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/10314/2355
Resumo: Financial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis a ected 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 di erent sub-periods to allow the behavior of stock market in di erent sub-periods to be investigated. The following sub-periods are identi ed: 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 e ects.
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spelling Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisisGlobal financial crisisInternational stock marketsGARCH modelsConditional volatilityFinancial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis a ected 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 di erent sub-periods to allow the behavior of stock market in di erent sub-periods to be investigated. The following sub-periods are identi ed: 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 e ects.Revista de metodos cuantitativos para la economia y la empresa2016-06-27T20:35:58Z2016-06-272015-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10314/2355http://hdl.handle.net/10314/2355eng1886-516XGabriel, 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:RCAAP2024-01-14T02:55:11Zoai:bdigital.ipg.pt:10314/2355Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:42:00.046734Repositório 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 efects in international stock market volatility during the global financial crisis
title Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
spellingShingle Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
Gabriel, Vítor
Global financial crisis
International stock markets
GARCH models
Conditional volatility
title_short Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
title_full Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
title_fullStr Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
title_full_unstemmed Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
title_sort Sensitivity, persistence and asymmetric efects 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
dc.subject.por.fl_str_mv Global financial crisis
International stock markets
GARCH models
Conditional volatility
topic Global financial crisis
International stock markets
GARCH models
Conditional volatility
description Financial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis a ected 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 di erent sub-periods to allow the behavior of stock market in di erent sub-periods to be investigated. The following sub-periods are identi ed: 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 e ects.
publishDate 2015
dc.date.none.fl_str_mv 2015-06-01T00:00:00Z
2016-06-27T20:35:58Z
2016-06-27
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/10314/2355
http://hdl.handle.net/10314/2355
url http://hdl.handle.net/10314/2355
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1886-516X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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