scholarly journals A comparative analysis of stock market volatility depending on investment time horizon

2018 ◽  
Vol 167 (9-10) ◽  
pp. 49-52 ◽  
Author(s):  
Oleksii Zakharkin ◽  
◽  
Liudmyla Zakharkina ◽  
Nataliia Antoniuk ◽  
◽  
...  
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Time Horizon ◽  
Market Volatility ◽  
Stock Market Volatility

scholarly journals Sub-prime Crisis or COVID-19: A Comparative Analysis of Volatility in Indian Banking Sectoral Indices

2020 ◽  
Vol 9 (4) ◽  
pp. 286-299
Author(s):  
Parul Bhatia ◽  
Priya Gupta
Keyword(s):  
Comparative Analysis ◽  
Public Sector ◽  
Stock Market ◽  
Private Sector ◽  
Market Volatility ◽  
Leverage Effect ◽  
Stock Market Volatility ◽  
Long Run ◽  
Global Shocks

Stock market volatility may be a function of company, industry, or world over information made public. The present study has investigated the volatility of Indian banking sectoral indices with the general banking index for two shocking events: the Sub-prime crisis and COVID-19. A comparative analysis of both the shocks leading to these indices’ volatility has been conducted using symmetric and asymmetric models. This study’s findings show that these indices’ volatile behaviour has been strong enough to persist in the market with the leverage effect present during the sub-prime crisis. This effect disappeared for Nifty Bank Indices and Private Sector Bank Indices as compared to Public Sector Undertaking Bank Indices during COVID-19 (probably because the pandemic is not over yet). With GARCH and EGARCH models, the study suggests that the investors may use the diversification approach, in the long run, to safeguard their portfolio values to survive from global shocks.

scholarly journals The Outbreak of COVID-19 Pandemic and Its Impact on Stock Market Volatility: Evidence from a Worst-affected Economy

2020 ◽  
Author(s):  
Debakshi Bora ◽  
Daisy Basistha
Keyword(s):  
Comparative Analysis ◽  
Stock Market ◽  
Financial Market ◽  
Garch Model ◽  
Global Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Bottom Line ◽  
Indian Stock Market ◽  
The Impact

Abstract The outbreak of COVID-19 has affected the entire global financial market in an unprecedented way. Due to the disruptions that emerged in the global market; the financial market of India also reacted to the pandemic and witnessed sharp volatility. Given the COVID-19 situation, this paper empirically investigates the impact of COVID-19 on the Indian stock market. Using daily closing prices of indices such as Nifty and Sensex, this study examines the volatility of these indices over the period 3rd September 2019 to 10th July 2020. Further, the study has attempted to make a comparative analysis of the return of the stock market in pre-COVID-19 and during the COVID-19 situation. GARCH model is used to capture the volatility of the indices. Findings reveal that the stock market in India has experienced volatility during the pandemic period. While comparing the results with that of the pre-COVID-19 period, we find that return on the indices is higher in the pre-COVID-19 period than during COVID-19. The return of both the stock market reached the bottom line during the first lockdown period, which is from24th March to 6th April.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

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