Volatility in Stock Markets: A Comparison of Developed and Emerging Markets of the World

Sonali Agarwal
Additional contact information
Sonali Agarwal: Ph.D. Research Scholar, Jamia Hamdard University, India

Indian Journal of Commerce and Management Studies, 2017, vol. 08, issue 2, 87-92

Abstract: Volatility in markets is the growing area of crucial attention which is being analysed by many academicians over the world. The reason being that with the passage of time, the probability of deviation of the prices from the initial intrinsic value increases. In this research we have tried to model the volatility of two indices: MSCI emerging markets index and MSCI world index with the use of ARCH and GARCH models. The volatility clustering and ARCH effect were seen and the models were constructed. Both the ARCH and GARCH terms were found to be significant in both the market indices. It was found that in emerging markets, yesterday’s volatility had greater influence in explaining today’s volatility while in case of developed markets, both yesterday’s volatility and information had immense influence in explaining today’s volatility. The information is of immense use to the finance professionals and investors and can help them in taking correct portfolio decisions.

Keywords: ARCH; GARCH; volatility; developed markets; emerging markets; MSCI index. (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://scholarshub.net/index.php/ijcms/article/view/75/69 (application/pdf)
http://scholarshub.net/index.php/ijcms/article/view/75 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aii:ijcmss:v:08:y:2017:i:2:p:87-92

DOI: 10.18843/ijcms/v8i2/12

Access Statistics for this article

Indian Journal of Commerce and Management Studies is currently edited by Dr. Arif Anjum

More articles in Indian Journal of Commerce and Management Studies from Educational Research Multimedia & Publications,India
Bibliographic data for series maintained by Mr. Asif Anjum ().