Essays on International Finance

104 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2001.The third essay analyzes empirically the issues of GARCH effects in six stock market index return series, namely the DJIA, IBOVESPA, IPC, KOSPI200, SBF 120, and TSE300. Our results show that trading volume has a limited role in explaining GARCH effects in all six series. This is because volume does not fully capture information arrival at the aggregate level. Regarding the monetary policy, GARCH effects did not entirely vanish for most of the countries but it helped explain them. Interest rate first difference and interest rate first difference squared were not helpful in explaining GARCH effects in our sample. Finally, the introduction of the interest rate conditional volatility in the variance equation of the GARCH (1,1) specifications was very fruitful. It seems that GARCH effects vanished for some of the countries. The interest rate volatility captured well the information arrival in the sample.U of I OnlyRestricted to the U of I community idenfinitely during batch ingest of legacy ETD