Capital Controls and Stock Market Volatility in Frequency Domain
Posted: 13 Apr 2014
Date Written: 2006
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).
Keywords: Capital controls, Stock market volatility, Spectral analysis
JEL Classification: F36, G15, C14
Suggested Citation: Suggested Citation