Volatility experience of major world stock markets
The stock markets are characterized with relatively higher returns and higher risk & uncertainty, which reflect in the volatility that has been increasing day by day, especially, after the globalization and integration of capital markets. Volatility is an important input to many investment decis...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2019-12-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1418.pdf
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| Summary: | The stock markets are characterized with relatively higher returns and higher risk &
uncertainty, which reflect in the volatility that has been increasing day by day, especially, after the
globalization and integration of capital markets. Volatility is an important input to many investment
decisions and portfolio selection. A reliable technique for modelling stock market volatility is crucial
for effective hedging of stock market risk. There are several studies about the volatility in individual
stock markets. However, there are very few studies about the volatility in a group of stock markets
as developed, emerging and frontier markets. This paper aims at examining the volatility
experiences, informational asymmetries and leverage effects in the major developed, emerging and
frontier markets. The daily returns of stock indices of twenty-four markets have been considered
from 2000 to 2018. This study observes that all the markets confirm the stylized facts of the financial
time series. The volatility is highly persistent in all the markets, informational asymmetries and
leverage effects exist in the developed and emerging markets, whereas the frontier markets do not
exhibit any tendencies of informational asymmetries and leverage effects except the stock market of
Argentina. |
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| ISSN: | 1841-8678 1844-0029 |