Capital Controls and Stock Market Volatility in Frequency Domain

Posted: 13 Apr 2014

See all articles by Alexei G. Orlov

Alexei G. Orlov

Securities and Exchange Commission

Date Written: 2006

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).

Keywords: Capital controls, Stock market volatility, Spectral analysis

JEL Classification: F36, G15, C14

Suggested Citation

Orlov, Alexei G., Capital Controls and Stock Market Volatility in Frequency Domain (2006). Economics Letters, Vol. 91, No. 2, 2006, Available at SSRN: https://ssrn.com/abstract=2424120

Alexei G. Orlov (Contact Author)

Securities and Exchange Commission ( email )

100 F Street NE
Washington, DC 20549
United States

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