Files in this item



application/pdf9996614.pdf (4MB)Restricted to U of Illinois
(no description provided)PDF


Title:Essays on International Finance
Author(s):Barreto, Andre Horta
Doctoral Committee Chair(s):Soyoung Kim
Department / Program:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, General
Abstract:The third essay analyzes empirically the issues of GARCH effects in six stock market index return series, namely the DJIA, IBOVESPA, IPC, KOSPI200, SBF 120, and TSE300. Our results show that trading volume has a limited role in explaining GARCH effects in all six series. This is because volume does not fully capture information arrival at the aggregate level. Regarding the monetary policy, GARCH effects did not entirely vanish for most of the countries but it helped explain them. Interest rate first difference and interest rate first difference squared were not helpful in explaining GARCH effects in our sample. Finally, the introduction of the interest rate conditional volatility in the variance equation of the GARCH (1,1) specifications was very fruitful. It seems that GARCH effects vanished for some of the countries. The interest rate volatility captured well the information arrival in the sample.
Issue Date:2001
Description:104 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2001.
Other Identifier(s):(MiAaPQ)AAI9996614
Date Available in IDEALS:2015-09-25
Date Deposited:2001

This item appears in the following Collection(s)

Item Statistics