Stock market volatility and the crash of 1987: evidence from six emerging markets

doi:10.1016/S0261-5606(96)00036-8

Journal of International Money and Finance

Volume 15, Issue 6, December 1996, Pages 969-981

https://doi.org/10.1016/S0261-5606(96)00036-8 Get rights and content

Abstract

This paper studies volatility, risk premia and the persistence of volatility in six emerging stock markets before and after the 1987 stock market crash. The empirical investigation is conducted by means of the GARCH in the mean model (GARCH-M) and monthly data from Argentina, Greece, India, Mexico, Thailand, and Zimbabwe between January of 1976 and August of 1994. Results indicate changes in the ARCH parameter, risk premia and persistence of volatility before and after the 1987 crash. But these noted changes are not uniform and depend upon the individual markets. Factors other than the 1987 crash may also be responsible for the changes.

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^∗: I thank two anonymous referees and the co-editor of this journal for several helpful comments and suggestions. The remaining errors and omissions are my responsibility alone.

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Stock market volatility and the crash of 1987: evidence from six emerging markets

Abstract

Journal of Econometrics

Journal of Econometrics

Economics Letters

Journal of Financial Economics

Journal of Econometrics

Journal of Econometrics

Journal of Financial Economics

Journal of Financial Economics

Journal of Financial Economics

Journal of International Money and Finance

Journal of Financial Economics

The message in daily exchange rates: A conditional variance tale

Journal of Business and Economics Statistics

Stock returns and volatility

Journal of Financial and Quantitative Analysis

ARCH models: Properties, estimation and testing

Journal of Economic Survey

Studies of stock price volatility changes

The valuation of option contracts and a test of market efficiency

Journal of Finance

A conditional heteroskedastic time series model for speculative prices and rates of return

Review of Economics and Statistics

Volatility persistence and stock valuation: Some empirical evidence using GARCH

Journal of Applied Econometrics

Stock volatility and the crash of '87: Discussion

Review of Financial Studies