DR. SHAILESH RASOTGI

Title:The Financial Crisis of 2008 and Stock Market Volatility – Analysis and Impact on Emerging Economies Pre and Post CrisisYear: 2014

Authors: Dr. Shailesh Rastogi
Journal: Afro-Asian Journal of Finance and Accounting
Publication date: 2014
Publisher: Inderscience Publishers
URL: click here

Abstract

Stock market volatility plays a very important role in making or marring the fortunes of investors. The study of volatility becomes more important during extreme conditions such as financial crisis. This paper through GARCH, TGARCH and EGARCH models analyses and compares the volatility before and after the financial crisis of 2008. The study has been conducted on the emerging economies and comes out with quite interesting results. It concludes that the impact of the crisis on the volatility and leverage effect has been significant on the stock markets of different nations but the direction of the impact has been mixed.

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