Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany
This study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been analyzed extensively in literature. We look into volatility issue from the standpoint of extreme-day changes. Our analysis indicates the non-no...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Riga Technical University Press
2018-07-01
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| Series: | Economics and Business |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/eb-2018-0010 |
| _version_ | 1826952430969946112 |
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| author | Ahmed Naeem Sarfraz Mudassira |
| author_facet | Ahmed Naeem Sarfraz Mudassira |
| author_sort | Ahmed Naeem |
| collection | DOAJ |
| description | This study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been analyzed extensively in literature. We look into volatility issue from the standpoint of extreme-day changes. Our analysis indicates the non-normality of German stock market and higher probability of negative trading days. We measure the occurrences of extreme-day returns and their significance in measuring annual volatility. Our time series analysis indicates that the occurrences of extreme-days show a cyclical trend over the sample time period. Our comparison of negative and positive extreme-days indicates that negative extreme-days overweigh the positive extreme days. Standard deviation, as measure of volatility used traditionally, gives altered ranks of annual volatility to a considerable extent as compared to extreme-day returns. Lastly, existence of extreme day returns can be explained by past period occurrences, which show predictability. |
| first_indexed | 2024-04-11T02:46:25Z |
| format | Article |
| id | doaj.art-4abde3ca7b4a41c9a853374eeafcead8 |
| institution | Directory Open Access Journal |
| issn | 1407-7337 2256-0394 |
| language | English |
| last_indexed | 2025-02-17T23:05:59Z |
| publishDate | 2018-07-01 |
| publisher | Riga Technical University Press |
| record_format | Article |
| series | Economics and Business |
| spelling | doaj.art-4abde3ca7b4a41c9a853374eeafcead82024-12-02T08:29:31ZengRiga Technical University PressEconomics and Business1407-73372256-03942018-07-0132112613510.2478/eb-2018-0010eb-2018-0010Stock Market Volatility Measure Using Non-Traditional Tool Case of GermanyAhmed Naeem0Sarfraz Mudassira1COMSATS University, Islamabad, PakistanCOMSATS University, Islamabad, PakistanThis study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been analyzed extensively in literature. We look into volatility issue from the standpoint of extreme-day changes. Our analysis indicates the non-normality of German stock market and higher probability of negative trading days. We measure the occurrences of extreme-day returns and their significance in measuring annual volatility. Our time series analysis indicates that the occurrences of extreme-days show a cyclical trend over the sample time period. Our comparison of negative and positive extreme-days indicates that negative extreme-days overweigh the positive extreme days. Standard deviation, as measure of volatility used traditionally, gives altered ranks of annual volatility to a considerable extent as compared to extreme-day returns. Lastly, existence of extreme day returns can be explained by past period occurrences, which show predictability.https://doi.org/10.2478/eb-2018-0010extreme-day returnnon-normalitystandard deviationvolatilityvolatility ranking |
| spellingShingle | Ahmed Naeem Sarfraz Mudassira Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany Economics and Business extreme-day return non-normality standard deviation volatility volatility ranking |
| title | Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany |
| title_full | Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany |
| title_fullStr | Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany |
| title_full_unstemmed | Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany |
| title_short | Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany |
| title_sort | stock market volatility measure using non traditional tool case of germany |
| topic | extreme-day return non-normality standard deviation volatility volatility ranking |
| url | https://doi.org/10.2478/eb-2018-0010 |
| work_keys_str_mv | AT ahmednaeem stockmarketvolatilitymeasureusingnontraditionaltoolcaseofgermany AT sarfrazmudassira stockmarketvolatilitymeasureusingnontraditionaltoolcaseofgermany |