Modeling the volatility of Mediterranean stock markets: a regime-switching approach

In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010. Our results show strong evidence of regime shifts in each of these markets. We also find that the Mediterranean developed markets are less affected by international market events such as Asian and Russian financial crisis than emerging markets.

MoreLess

Year of publication:	2011
Authors:	Chkili, Walid ; Nguyen, Duc Khuong
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 31.2011, 2, p. 1105-1113
Publisher:	AccessEcon
Subject:	Stock return volatility \| Markov regime-switching model \| Mediterranean stock markets

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F3 - International Finance ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009643089