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- W3213237772 abstract "This study investigates the effects of the US subprime crisis and the Eurozone debt crisis on stock market behaviors in terms of the volatility of return or risk and asymmetry issues by using GARCH, E-GARCH and GARCH-M methodologies and the daily stock return series, which consists of 2,609 observations from the period June 3, 2004 to June 3, 2014 for selected emerging markets. The findings indicate that the emerging markets exhibit some common patterns in different boom and bust periods. Regardless of the region, economic size, period and the source of the crisis, the study concludes that nearly all markets have strong and significant volatility clustering in the stock return and asymmetric behaviors, which indicates that negative shocks have a greater impact on volatility than positive shocks." @default.
- W3213237772 created "2021-11-22" @default.
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- W3213237772 date "2017-10-28" @default.
- W3213237772 modified "2023-09-24" @default.
- W3213237772 title "Financial Crises and Stock Market Behaviors in Emerging Markets" @default.
- W3213237772 hasPublicationYear "2017" @default.
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