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Capital controls and stock market volatility in frequency domain

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
91
Issue
2
Identifiers
DOI: 10.1016/j.econlet.2005.09.014
Keywords
  • Capital Controls
  • Stock Market Volatility
  • Spectral Analysis

Abstract

Abstract The link between capital controls and stock market volatility is examined using frequency domain techniques. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased) while the overall volatility is increased (reduced).

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