Article detail · 2025
Dynamic Persistence of Shocks to Stock Prices in Emerging Markets: Non-Normal Distributions, Structural Changes and Asymmetry
Journal
The International Journal of Finance & EconomicsISSN 1099-1158
The ISSN points to another catalog journal; the name is from the YÖKSİS record.
- Year
- 2025
- Type
- article
Data source split
- YÖKSİS YÖKSİS article record
- YÖKSİS venue The International Journal of Finance & Economics
- Catalog match (ISSN) International Journal of Finance and Economics
- OpenAlex OpenAlex enrichment (abstract, citations, topics)
Abstract
English (OpenAlex)
ABSTRACT This study examines the persistence of shocks to stock prices in emerging markets, with accounting for non‐normal distributions, structural changes and asymmetry by means of the recent developments in the quantile autoregression models. The results, from the data covering the January 1988–January 2025 period for the stock price index of 24 emerging markets, show the importance of simultaneously accounting for these data properties in analysing the effects of shocks to stock prices. We find that the shocks tend to be temporary, demonstrating a mean‐reversion in stock prices of emerging markets, which provides implications for trading strategies, portfolio investment and risk management.
Topics
- Market Dynamics and Volatility
- Complex Systems and Time Series Analysis
- Monetary Policy and Economic Impact
Primary topic Market Dynamics and Volatility