Big players and the Russian rouble: explaining volatility dynamics
ISSN: 0307-4358
Article publication date: 1 January 1999
Issue publication date: 1 January 1999
Abstract
Outlines previous research attempts to explain the behaviour of second moments of price and return distributions and theories of how Big Players (i.e. those with enough discretionary power to influence the market but little sensitivity to profit/loss consequences) affect the volatility and informational efficiency of markets. Contrasts the 1883‐1892 fluctuations in the exchange value of the Russian rouble under interventionist (i.e. big player) and non‐interventionist finance ministers; and analyses the statistics using GARCH techniques. Shows that under the Big Player, both unconditional variance and the persistence of conditional volatility increased. Suggests that policy regimes affect the degree of noise‐trader influence and calls for further research.
Keywords
Citation
Paul Broussard, J. and Koppl, R. (1999), "Big players and the Russian rouble: explaining volatility dynamics", Managerial Finance, Vol. 25 No. 1, pp. 49-63. https://doi.org/10.1108/03074359910765858
Publisher
:MCB UP Ltd
Copyright © 1999, MCB UP Limited