Volatility experience of major world stock markets

Mejari Mallikarjuna () and R. Prabhakara Rao
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R. Prabhakara Rao: Sri Sathya Sai Institute of Higher Learning, Andhra Pradesh, India

Theoretical and Applied Economics, 2019, vol. XXVI, issue 4(621), Winter, 35-52

Abstract: 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.

Keywords: stock market; risk; volatility; asymmetries; leverage effect; impact curves. (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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