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| Walid Chkili and Duc Khuong Nguyen |
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| ''Modeling the volatility of Mediterranean stock markets: a regime-switching approach'' |
| ( 2011, Vol. 31 No.2 ) |
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| In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010. Our results show strong evidence of regime shifts in each of these markets. We also find that the Mediterranean developed markets are less affected by international market events such as Asian and Russian financial crisis than emerging markets. |
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| Keywords: Stock return volatility, Markov regime-switching model, Mediterranean stock markets |
JEL: F3 - International Finance: General
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| Manuscript Received : Nov 21 2010 | | Manuscript Accepted : Apr 15 2011 |
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