{"id":8741,"date":"2022-07-27T06:32:57","date_gmt":"2022-07-27T06:32:57","guid":{"rendered":"https:\/\/depocen.org\/publications\/testing-for-structural-breaks-and-dynamic-changes-in-emerging-market-volatility\/"},"modified":"2022-07-27T06:32:57","modified_gmt":"2022-07-27T06:32:57","slug":"testing-for-structural-breaks-and-dynamic-changes-in-emerging-market-volatility","status":"publish","type":"publications","link":"https:\/\/depocen.org\/en\/publications\/testing-for-structural-breaks-and-dynamic-changes-in-emerging-market-volatility\/","title":{"rendered":"Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility."},"content":{"rendered":"<p>This paper aims to test for structural breaks and dynamic changes in emerging market volatility. We<br \/>\ntypically relate these issues to stock market liberalization since the latter is often considered as one of<br \/>\nthe most important forces that promote economic growth and rapid maturation of the emerging markets<br \/>\nof the world. Using a bivariate GARCH-M model, stability tests in a linear framework and a<br \/>\npooled time-series cross-section model, we show that structural breaks detected in emerging market<br \/>\nvolatility series do not happen together with official liberalization dates, but they rather coincide with<br \/>\ndates of the first ADR\/Country Fund introduction and with dates of large increases in the US capital<br \/>\nflows. Consistently, the pooled estimation results indicate that liberalization methods other than liberalization<br \/>\nvia a formal policy decree are the ones that significantly affect volatility.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1565,1566,1568,1569],"topic_publications":[],"class_list":["post-8741","publications","type-publications","status-publish","hentry","author_publications-mondher-bellalah","author_publications-duc-khuong-nguyen","author_publications-mondher-bellalah-en","author_publications-duc-khuong-nguyen-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications\/8741","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/media?parent=8741"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/cate_publications?post=8741"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/author_publications?post=8741"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/topic_publications?post=8741"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}