Sensitivity, Persistence and Asymmetric Effects in International Stock Market Volatility during the Global Financial Crisis // Efectos de sensibilidad, persistencia y asimetría en la volatilidad de los mercados bursátiles internacionales en el entorno de la crisis financiera global

Autores/as

  • Vítor Gabriel UDI - Research Unit for Inland Development Polytechnic Institute of Guarda (Portugal)

Palabras clave:

Global financial crisis, international stock markets, GARCH models, conditional volatility, crisis financiera global, mercados bursátiles, modelos GARCH, volatilidad condicional

Resumen

Financial market volatility is an important element when setting up portfolio management strategies, option pricing and market regulation. The Subprime crisis affected 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 different sub-periods to allow the behavior of stock market in different sub-periods to be investigated. The following sub-periods are identified: 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 effects.

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La volatilidad de los mercados financieros es un importante elemento para la estrategia de carteras de inversión y para la regulación de los mercados. La crisis subprime afectó a los mercados bursátiles mundiales.

Para realizar este estudio, fueron tomados datos diarios relativos a doce mercados bursátiles, desde el 4 de octubre de 1999 hasta el 30 de junio de 2011. El período de la muestra considerado ha sido subdividido en tres subperíodos distintos: crisis de las empresas tecnológicas, tranquilo y crisis financiera global. Para estudiar la volatilidad de los mercados bursátiles, se ha recurrido a modelos de tipo GARCH.

Los resultados demuestran la influencia de la crisis financiera global en el comportamiento de la volatilidad del mercado bursátil, sobre todo en cuanto a la sensibilidad, la persistencia y la asimetría.

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Publicado

2016-11-04

Cómo citar

Gabriel, V. (2016). Sensitivity, Persistence and Asymmetric Effects in International Stock Market Volatility during the Global Financial Crisis // Efectos de sensibilidad, persistencia y asimetría en la volatilidad de los mercados bursátiles internacionales en el entorno de la crisis financiera global. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 19, Páginas 42 a 65. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2215

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