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Utilize este identificador para referenciar este registo: http://hdl.handle.net/10314/2355

Título: Sensitivity, persistence and asymmetric efects in international stock market volatility during the global financial crisis
Autores: Gabriel, Vítor
Palavras Chave: Global financial crisis
International stock markets
GARCH models
Conditional volatility
Data: Jun-2015
Editora: Revista de metodos cuantitativos para la economia y la empresa
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.
URI: http://hdl.handle.net/10314/2355
ISSN: 1886-516X
Aparece nas Colecções:Artigos em Revista Internacional (ESTG)

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