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.

DOI: 10.1504/AAJFA.2014.067017

Afro-Asian Journal of Finance and Accounting, 2014 Vol.4 No.4, pp.443 - 459

Received: 26 Aug 2013
Accepted: 22 Aug 2014

Published online: 20 Jan 2015 *

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