Stock Return Volatility in Emerging Markets

  title={Stock Return Volatility in Emerging Markets},
  author={Kamil Yilmaz},
This paper presents an empirical analysis of volatility and contagion across 19 emerging and developed stock markets in the 1990s. First, using an efficient estimate of unconditional stock return volatility we show that contemporaneous return and volatility correlation across stock markets have increased substantially in the 1990s. Second, using simple rolling regressions and goodness of fit measures we identify periods of persistent volatility in each market and volatility contagion across… CONTINUE READING
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