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- W2967203722 abstract "This paper investigates volatility modeling in light of the 2008 global financial crisis. The study was motivated by the measures and regulations introduced by most of the countries following the shock to stabilize their financial markets. The theoretical proposition is that these measures should succeed in reducing volatility which would be modeled differently following the crisis. The adopted ARMA-GARCH process included positive and negative trading volume change to capture the asymmetric effect of trading volume on market volatility for seven international markets. The results indicate that the majority of these markets were not so successful in reducing volatility following the crisis. There is evidence of volatility persistence which dissipates very quickly. Although volatility is modeled differently before and after the crisis, each market is modeled uniquely. The effect of trading volume was found to be asymmetric. Only positive change was a valid predictor. Detailed discussions of the results, implications, and recommendations are provided." @default.
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- W2967203722 date "2019-07-25" @default.
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- W2967203722 title "Have Stock Markets Become Less Volatile After the Great Recession?" @default.
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- W2967203722 doi "https://doi.org/10.5430/rwe.v10n3p10" @default.
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