Theoretical and Applied Economics
No. 4 / 2019 (621), Winter
Volatility experience of major world stock markets
Sri Sathya Sai Institute of Higher Learning, Andhra Pradesh, India
R. Prabhakara RAO
Sri Sathya Sai Institute of Higher Learning, Andhra Pradesh, India
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.
Contents
Expanding the Eurozone. The stage of economic convergence for Bulgaria, Czech Republic, Croatia, Hungary, Poland and Romania
Business R&D investments in the EU: Main dynamics and economic effects
Volatility experience of major world stock markets
Unemployment hysteresis analysis for OECD countries
Culture as a driving factor for foreign direct investments in the Western Development Region of Romania
A Deep Neural Network (DNN) based classification model in application to loan default prediction
The new Keynesian Phillips Curve. Implications. Strengths and weaknesses
Corporate ownership structure and performance: An enquiry into India
Turkey’s macroeconomic policy challenges in the aftermath of the 2018 crisis: A sectoral financial balances analysis
Main aspects on the nature of dynamic models
An analyses model of the Romanian privately managed pension system
Dynamic models used in analysis capital and population
Poverty rate determinants in the Central and Eastern Europe member states
Wagner versus Keynesian Hypothesis: Role of aggregate and disaggregate expenditure in Pakistan
GARCH based VaR estimation: An empirical evidence from BRICS stock markets
Does FDI substitute exports of home country? A case of US FDI in select Asian economies
Exploring the role of institutions in cross country Malmquist productivity analysis: A two-stage double bootstrap DEA approach
Does the Mundell-Fleming Model apply to Poland?
The validity of Okun’s Law: Evidences from Indian economy