On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets

Detalhes bibliográficos
Autor(a) principal: Bentes, Sonia
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/10400.21/9412
Resumo: Artigo em revista científica internacional com arbitragem científica
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spelling On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging marketsProceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENSStock market volatilityFIGARCH approachArtigo em revista científica internacional com arbitragem científicaWOS:000378613400020 (Nº de Acesso Web of Science)Long memory has always played a central role in physics since it was first discovered by Hurst while studying the flow of the River Nile. Interestingly, after his seminal work, many other researchers found the same pattern in other domains of science, such as biology, economics and finance. These studies have mainly relied on the use of the Hurst exponents as a measure of the degree of memory in a process. In this paper we use a different approach based on the FIGARCH (fractional integrated generalized autoregressive conditionally heteroskedasticity) model proposed by Baillie et al. in order to analyze the long memory behavior of stock market volatility. More specifically, we compare how the long memory parameter evolves before and after the 2008 and 2012 crises in both developed and emerging markets. Specifically, we consider the daily returns of the S&P 500, STOXX 50, FTSE 100, NIKKEI 225, HSI, BUX, WIG, SSE, IDX and KLCI indices for the period from October 1, 2003 to October 2, 2015 and then split the whole sample into four sub-samples of roughly three years each. Results show different patterns for the pre and post crisis periods revealing that the degree of memory differs in accordance with the country’s development and the level of market turbulence. In particular, we found that major mature economies present higher levels of long memory than emerging countries and were more affected by the 2008 and 2012 crises.Polish Academy of SciencesRCIPLBentes, Sonia2019-02-05T11:39:38Z2015-112015-11-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/9412eng10.12693/APhysPolA.129.997info: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:RCAAP2023-08-03T09:58:03Zoai:repositorio.ipl.pt:10400.21/9412Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:17:59.344079Repositório 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 On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS
title On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
spellingShingle On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
Bentes, Sonia
Stock market volatility
FIGARCH approach
title_short On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
title_full On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
title_fullStr On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
title_full_unstemmed On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
title_sort On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets
author Bentes, Sonia
author_facet Bentes, Sonia
author_role author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Bentes, Sonia
dc.subject.por.fl_str_mv Stock market volatility
FIGARCH approach
topic Stock market volatility
FIGARCH approach
description Artigo em revista científica internacional com arbitragem científica
publishDate 2015
dc.date.none.fl_str_mv 2015-11
2015-11-01T00:00:00Z
2019-02-05T11:39:38Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/9412
url http://hdl.handle.net/10400.21/9412
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.12693/APhysPolA.129.997
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Polish Academy of Sciences
publisher.none.fl_str_mv Polish Academy of Sciences
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
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
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
repository.mail.fl_str_mv
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