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

2015-11Journal article Open access
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dc.contributor.authorBentes, Sonia
dc.date.accessioned2019-02-05T11:39:38Z
dc.date.available2019-02-05T11:39:38Z
dc.date.issued2015-11
dc.descriptionArtigo em revista científica internacional com arbitragem científicapt_PT
dc.descriptionWOS:000378613400020 (Nº de Acesso Web of Science)pt_PT
dc.description.abstractLong 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.12693/APhysPolA.129.997pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/9412
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherPolish Academy of Sciencespt_PT
dc.relation.ispartofseries;5
dc.relation.publisherversionhttp://przyrbwn.icm.edu.pl/APP/PDF/129/a129z5p19.pdfpt_PT
dc.subjectStock market volatilitypt_PT
dc.subjectFIGARCH approachpt_PT
dc.titleOn the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging marketspt_PT
dc.title.alternativeProceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENSpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.conferencePlaceRzeszówpt_PT
oaire.citation.endPage1003pt_PT
oaire.citation.startPage997pt_PT
oaire.citation.titleActa Physica Polonica Apt_PT
oaire.citation.volume129pt_PT
person.familyNameBentes
person.givenNameSonia
person.identifier.orcid0000-0001-7416-5893
person.identifier.scopus-author-id23479533700
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication338f2efa-5750-4f68-aaa4-9840b43d130d
relation.isAuthorOfPublication.latestForDiscovery338f2efa-5750-4f68-aaa4-9840b43d130d

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