US stock market volatility persistence: evidence before and after the burst of the IT bubble

US stock market volatility persistence: evidence before and after the burst of the IT bubble In this paper we test whether the US stock market volatility presents a different behavior before and after the burst of the IT bubble. Using long range dependence techniques we examine the order of integration in the absolute and squared returns in three daily stock market indices (DJIA, S&P and NASDAQ). The results indicate that both absolute and squared returns present long memory behavior. In general, the highest orders of integration in the volatility processes correspond to the NASDAQ index. The results also show that in most cases the volatility is more persistent in the bear market than in the bull market. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

US stock market volatility persistence: evidence before and after the burst of the IT bubble

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Publisher
Springer US
Copyright
Copyright © 2009 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-009-0111-5
Publisher site
See Article on Publisher Site

Abstract

In this paper we test whether the US stock market volatility presents a different behavior before and after the burst of the IT bubble. Using long range dependence techniques we examine the order of integration in the absolute and squared returns in three daily stock market indices (DJIA, S&P and NASDAQ). The results indicate that both absolute and squared returns present long memory behavior. In general, the highest orders of integration in the volatility processes correspond to the NASDAQ index. The results also show that in most cases the volatility is more persistent in the bear market than in the bull market.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Mar 21, 2009

References

  • International asset allocation with regime shifts
    Ang, A; Bekaert, G
  • Estimating and testing linear models with multiple structural changes
    Bai, J; Perron, P
  • Long memory processes and fractional integration in econometrics
    Baillie, RT

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