Khuong Nguyen, Duc; Bellalah, Mondher - In: Review of Accounting and Finance 7 (2008) 4, pp. 396-411
Purpose – This paper aims to empirically reexamine the dynamic changes in emerging market volatility around stock market liberalization. Design/methodology/approach – First, a bivariate GARCH‐M model which counts for partial market integration is developed for modeling stock market...