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


  • 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


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.


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.


Los datos de descargas todavía no están disponibles.


Angabini, A. and Wasiuzzaman, S. (2011). “GARCH Models and the Financial Crisis – A Study of the Malaysian Stock Market”. The International Journal of Applied Economics and Finance, 5 (3), 226– 36.

Bala, L. and Premaratne, G. (2003). “Stock market volatility: Examining North America, Europe and Asia”. National University of Singapore, Economics Working Paper. Retrieved in 2011.

Bekaert, G.; Ehrmann, M.; Fratzscher, M. and Mehl, A. (2011). “Global Crises and Equity Market Contagion”. National Bureau of Economic Research. Working Paper 17121. Retrieved in 2012.

Black, F. (1976). “Studies in stock price volatility changes”. Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association, pp. 177-181.

Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, 31, 307-327.

Bollerslev, T.; Chou, R. and Kroner, K. (1992). “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence”. Journal of Econometrics, 52, 5–59.

Brock, W.A. and de Lima, P.J.F. (1996). “Nonlinear Time Series, Complexity Theory and Finance”. In: Maddala, G.S. and Rao, C.R. (eds.). Handbook of Statistics. Vol. 14: Statistical Methods in Finance. Elsevier: New York, pp. 317-361.

Campbell, J.Y.; Lo, A.W. and MacKinlay, A.C. (1996). The Econometrics of Financial Markets. Princeton University Press: New Jersey.

Chaudhuri, K. and Klaassen, F. (2001) “Have East Asian Stock Markets Calmed Down? Evidence from a Regime-Switching Model”. Department of Economics Working Paper, University of Amsterdam.

Chong, C. (2011). “Effect of Subprime Crisis on U.S. Stock Market Return and Volatility”. Global Economy and Finance Journal, 4 (1), 102–111.

Claessens. S.; Dell'Ariccia, G.; Igan, D. and Laeven, L. (2010). “Lessons and Policy Implications from the Global Financial Crisis”. IMF Working Paper No. 10/44.

Cont, R. (2001). “Empirical properties of asset return: Stylized facts and statistical issues”. Quarterly Finance, 1, 223–236.

Cont, R. (2005). “Long range dependence in financial markets”. In: Lévy-Véhel, J. and Lutton, E. (eds.). Fractals in Engineering. Springer-Verlag: London, pp. 159–179.

Coolen, A.C.C. (2004). The Mathematical Theory of Minority Games: Statistical Mechanics of Interacting Agents. Oxford University Press: Oxford.

Ding, Z.; Granger, C.W.J. and Engle, R.F. (1993). “A long memory property of stock market returns and a new model”. Journal of Empirical Finance, 1 (1), 83–106.

Engle, R.F. (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”. Econometrica, 50, 987–1008.

Engle, R.F. and Patton, A.J. (2001). “What good is a volatility model?” Quantitative Finance, 1, 237–245.

Horta, P.; Mendes, C. and I. Vieira. (2008). “Contagion Effects of the U.S. Subprime Crisis on Developed Countries”. CEFAGE-UE Working Paper 2008/08, University of Évora.

Lin, C. (1996). Stochastic Mean and Stochastic Volatility. Blackwell Publishers: Cambridge.

Lin, J.Y. and Treichel, V. (2012). “The Unexpected Global Financial Crisis: Researching its Root Cause”. Policy Research Working Paper WPS5937, World Bank. WPS5937.

Liquane, N.; Naoui, K. and Brahim, S. (2010). “A dynamic conditional correlation analysis of financial contagion: The case of the subprime credit crisis”. International Journal of Economics and Finance, 2 (3), 85–96.

Mandelbrot, B. (1963). “The variation of certain speculative prices”. The Journal of Business, 36 (4), 394–416.

Mandelbrot, B. and Hudson, R. (2006). O (Mau) Comportamento dos Mercados: Uma Visão Fractal do Risco, da Ruína e do Rendimento. Gradiva: Lisbon.

Markowitz, H. (1952). “Portfolio selection”. The Journal of Finance, 7, 77–91. 64

McAleer, M. (2005). “Automated Inference and Learning in Modelling Financial Volatility”. Econometric Theory, 21 (1), 232–261.

Nelson, D.B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”. Econometrica, 59 (2), 347–370.

Patev, P.G. and Kanaryan, N.K. (2003), “Stock Market Volatility Changes in Central Europe Caused by Asian and Russian Financial Crises”, Tsenov Academy of Economics Department of Finance and Credit Working Paper, No. 03-01.

Raja, M. and Selvam, M. (2011). “Measuring the time varying volatility of futures and options”. The International Journal of Applied Economics and Finance, 5 (1), 18–29.

Ramlall, I. (2010). “Has the US Subprime Crisis Accentuated Volatility Clustering and Leverage Effects in Major International Stock Markets?” International Research Journal of Finance and Economics, 39, 157-185.

Schwert, G.W. (1998). “Stock Market Volatility: Ten Years after the Crash”. Brookings-Wharton Papers on Financial Services, 1998, 65–114.

Toussaint, E. (2008). “The US Subprime Crisis Goes Global”. In Counterpunch, Weekend Edition, January 12/13.



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