Title: The financial crisis of 2008 and stock market volatility - analysis and impact on emerging economies pre and post crisis
Authors: Shailesh Rastogi
Addresses: Thiagarajar School of Management, Pamban Swamy Nagar, Thirupparankundram, Madurai-625 005, Tamil Nadu, India
Abstract: Stock market volatility plays a very important role in making or marring the fortunes of investors. The study of volatility becomes more important during extreme conditions such as financial crisis. This paper through GARCH, TGARCH and EGARCH models analyses and compares the volatility before and after the financial crisis of 2008. The study has been conducted on the emerging economies and comes out with quite interesting results. It concludes that the impact of the crisis on the volatility and leverage effect has been significant on the stock markets of different nations but the direction of the impact has been mixed.
Keywords: stock market volatility; emerging economies; GARCH; asymmetry; risk; financial crisis; leverage.
Afro-Asian Journal of Finance and Accounting, 2014 Vol.4 No.4, pp.443 - 459
Available online: 20 Jan 2015 *Full-text access for editors Access for subscribers Purchase this article Comment on this article