Asymmetric Volatility and Risk-Return Relationship in International Stock Markets

Metamorphosis ◽  
2007 ◽  
Vol 6 (2) ◽  
pp. 136-150
Author(s):  
M. Karmakar
Keyword(s):  
Stock Markets ◽  
Stock Market Volatility ◽  
Risk Return ◽  
Emerging Stock Markets ◽  
Estimated Parameters ◽  
International Stock Markets ◽  
Asymmetric Garch ◽  
Relationship Of ◽  
High Degree ◽  
Asymmetric Function

This paper investigates daily stock market volatility of 9 developed and 11 emerging stock markets of the world using different symmetnc, as well as asymmetric GARCH models. The symmetric GARCH parameters suggest that though market behaves differently for different countries in terms of reaction and persistence in volatility, the return generating process in all markets is charactenzed by a high degree of persistence in conditional variance. The estimated parameters of TGARCH model reveal that in all markets, volatility is an asymmetric function of past innovation. Finally, the results of TGARCH-M model indicate insignificant risk-return relationship of most of the markets.

Forecasting Stock Market Volatility: Evidence from Six Emerging Markets

2013 ◽  
Vol 14 (2) ◽  
pp. 68-93
Author(s):  
Naliniprava Tripathy ◽  
Ashish Garg
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Price ◽  
Market Volatility ◽  
Future Market ◽  
Investment Strategies ◽  
Stock Market Volatility ◽  
Efficient Management ◽  
Asymmetric Garch

This paper forecasts the stock market volatility of six emerging countries by using daily observations of indices over the period of January 1999 to May 2010 by using ARCH, GARCH, GARCH-M, EGARCH and TGARCH models. The study reveals the positive relationship between stock return and risk only in Brazilian stock market. The analysis exhibits that the volatility shocks are quite persistent in all country’s stock market. Further the asymmetric GARCH models find a significant evidence of asymmetry in stock returns in all six country’s stock markets. This study confirms the presence of leverage effect in the returns series and indicates that bad news generate more impact on the volatility of the stock price in the market. The study concludes that volatility increases disproportionately with negative shocks in stock returns. Hence investors are advised to use investment strategies by analyzing recent and historical news and forecast the future market movement while selecting portfolio for efficient management of financial risks to reap benefits in the stock markets.

scholarly journals Impact of Macroeconomic Variables on Stock Markets: Evidence from Frontier Markets like Pakistan Stock Exchange (PSX)

2018 ◽  
Vol III (III) ◽  
pp. 595-610
Author(s):  
Muhammad Nadeem Iqbal ◽  
Muhammad Zia ur Rehman ◽  
Kashif Saleem
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Stock Market Volatility ◽  
Short Term ◽  
Return On Assets ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Emerging Stock Markets ◽  
Research Gap

The macroeconomic version of the APT is of great significance in examining the return on assets. It analyzes the estimated security return with reference to various macroeconomic variables. Despite availability of research studies related to the developed and emerging stock markets of the world, still a research gap exists for exploring the frontier markets like equity market of Pakistan. The study examines the long and short term impact of macroeconomic variables on the KSE 100 index for the period of July 1996 - June 2015. Cointegration technique and VECM models have been applied. Among these variables, GDP, inflation, exchange rate, unemployment rate, labor force cost and stock market of US were found significant for explanation of effects on return of stock market of Pakistan. The study findings have potential implications for both policymakers and investors pertaining to macroeconomic factors and stock market volatility.

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