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- W4229690416 abstract "In this paper we review the factors that lead to changes in stock market volatility and use alternative methodologies of endogenous breakpoint detection in order to analyze whether the volatility of the Spanish stock market has changed significantly over the period 1941–2001. This period corresponds to years of profound development of both the financial and the productive sides of the economy in this country. The analysis of the Spanish stock market suggests that volatility has behaved in a different manner over the period 1941–2001: After three decades of low volatility, a structural break in volatility is detected in 1972, coinciding with the opening of the Spanish economy. From 1972 to 2001, the years of more intense financial development, the stock market presents a higher level of volatility and lower persistence. This effect is partly attributable to the increased growth of trading volume brought about by the economic development process." @default.
- W4229690416 created "2022-05-11" @default.
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- W4229690416 date "2004-07-01" @default.
- W4229690416 modified "2023-10-18" @default.
- W4229690416 title "Structural changes in volatility and stock market development: Evidence for Spain" @default.
- W4229690416 doi "https://doi.org/10.1016/s0378-4266(03)00215-2" @default.
- W4229690416 hasPublicationYear "2004" @default.
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