Volatility of Stock Markets (an Analysis of South Asian and G8 Countries)

Muhammad Mansoor Baig (), Waheed Aslam (), Qaiser Malik () and Muhammad Bilal ()
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Muhammad Mansoor Baig: University of Sargodha Sub-campus Mianwali
Waheed Aslam: University of Sargodha Sub-campus Mianwali
Qaiser Malik: Foundation University Rawalpini
Muhammad Bilal: University of Sargodha Sub-campus Mianwali

Acta Universitatis Danubius. OEconomica, 2015, issue 11(6), 58-70

Abstract: The objective of this study is to make an analysis of volatility of stock markets between South Asian Stock Markets and Stock Markets of Group of Eight Countries. This study important for the investors whose want to invest in stock markets. This study helps investors to determine what stock market is more volatile. To make the analysis three South Asian stock markets and Group of Eight countries stock markets are selected. South Asian stock markets indexes include KSE 100 (Pakistan), SENSEX (India), ASPI (Sri Lanka), CAC 40 (France), DAX (Germany), S &P / TSX Composite (Canada), FTSE MIB (Italy), RTS (Russia), Nikkei 225 (Japan), S & P 500 (USA) and FTSE 100 (UK). Data is collected from the period of January 1st 2005 to August 31st 2015. ARCH and GARCH model is used to analyze the volatility of South Asian Stock Markets and stock markets of Group of Eight Countries. The findings show that South Asian Stock Markets are less volatile while Stock Markets of Group of Eight Countries are high volatile. This study is useful for investment institutions and portfolio managers because it focuses on current issues and takes the current data.

Keywords: ARCH; GARCH; Heteroscedasticity (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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