One data, one break?
This paper demonstrates that the conventional approach of using official liberalisation dates as the only existing breakdates could lead to inaccurate conclusions as to the effect of the underlying liberalisation policies. It also proposes an alternative paradigm for obtaining more robust estimates...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Verlag
2011
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| Online Access: | http://psasir.upm.edu.my/id/eprint/22621/1/One%20data.pdf |
| _version_ | 1796970197812248576 |
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| author | Karoglou, Michail Demetriades, Panicos Law, Siong Hook |
| author_facet | Karoglou, Michail Demetriades, Panicos Law, Siong Hook |
| author_sort | Karoglou, Michail |
| collection | UPM |
| description | This paper demonstrates that the conventional approach of using official liberalisation dates as the only existing breakdates could lead to inaccurate conclusions as to the effect of the underlying liberalisation policies. It also proposes an alternative paradigm for obtaining more robust estimates of volatility changes around official liberalisation dates and/or other important market events. By focusing on five East Asian emerging markets, all of which liberalised their financial markets in the late, and by using recent advances in the econometrics of structural change, it shows that (i) the detected breakdates in the volatility of stock market returns can be dramatically different to official liberalisation dates and (ii) the use of official liberalisation dates as breakdates can readily entail inaccurate inference. In contrast, the use of data-driven techniques for the detection of multiple structural changes leads to a richer and inevitably more accurate pattern of volatility evolution emerges in comparison with focussing on official liberalisation dates. |
| first_indexed | 2024-03-06T07:54:29Z |
| format | Article |
| id | upm.eprints-22621 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T07:54:29Z |
| publishDate | 2011 |
| publisher | Springer Verlag |
| record_format | dspace |
| spelling | upm.eprints-226212015-09-27T23:27:34Z http://psasir.upm.edu.my/id/eprint/22621/ One data, one break? Karoglou, Michail Demetriades, Panicos Law, Siong Hook This paper demonstrates that the conventional approach of using official liberalisation dates as the only existing breakdates could lead to inaccurate conclusions as to the effect of the underlying liberalisation policies. It also proposes an alternative paradigm for obtaining more robust estimates of volatility changes around official liberalisation dates and/or other important market events. By focusing on five East Asian emerging markets, all of which liberalised their financial markets in the late, and by using recent advances in the econometrics of structural change, it shows that (i) the detected breakdates in the volatility of stock market returns can be dramatically different to official liberalisation dates and (ii) the use of official liberalisation dates as breakdates can readily entail inaccurate inference. In contrast, the use of data-driven techniques for the detection of multiple structural changes leads to a richer and inevitably more accurate pattern of volatility evolution emerges in comparison with focussing on official liberalisation dates. Springer Verlag 2011-08 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22621/1/One%20data.pdf Karoglou, Michail and Demetriades, Panicos and Law, Siong Hook (2011) One data, one break? Empirical Economics, 41 (1). pp. 7-24. ISSN 0377-7332; ESSN: 1435-8921 10.1007/s00181-010-0436-x |
| spellingShingle | Karoglou, Michail Demetriades, Panicos Law, Siong Hook One data, one break? |
| title | One data, one break? |
| title_full | One data, one break? |
| title_fullStr | One data, one break? |
| title_full_unstemmed | One data, one break? |
| title_short | One data, one break? |
| title_sort | one data one break |
| url | http://psasir.upm.edu.my/id/eprint/22621/1/One%20data.pdf |
| work_keys_str_mv | AT karogloumichail onedataonebreak AT demetriadespanicos onedataonebreak AT lawsionghook onedataonebreak |