Volatility among Regional Stock Markets: An Empirical Analysis
This study is an attempt to measure volatilities among regional stock markets and to establish a relationship between stock returns and volatility, and to rank these markets with respect to volatility. For this purpose, six markets are considered i.e. KSE100, Sensex, Nikkei225, Hangseng, Shanghai an...
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| Format: | Article |
| Language: | English |
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Shaheed Zulfikar Ali Bhutto Institute of Science and Technology
2010-06-01
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| Series: | JISR Management and Social Sciences & Economics |
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| Online Access: | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/289 |
| _version_ | 1797851580301574144 |
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| author | Nawaz Ahmad |
| author_facet | Nawaz Ahmad |
| author_sort | Nawaz Ahmad |
| collection | DOAJ |
| description | This study is an attempt to measure volatilities among regional stock markets and to establish a relationship between stock returns and volatility, and to rank these markets with respect to volatility. For this purpose, six markets are considered i.e. KSE100, Sensex, Nikkei225, Hangseng, Shanghai and Kospi. Indices’ data consist of daily observations from January 2001 to August 2008. As a primary investigation, time series graph consists of historic data which has been observed depicting high correlations and a heteroskedastic patron (volatility) among the markets over the sample tenure which then formally measured and ranked by applying descriptive model of standard deviation followed by coefficient of variation which reveals that KSE has 66.23% volatility and 0.10% average return followed by Sensex, which has 63.39% volatility and 0.070% average return. Nikkei has, however, 22.19% volatility and a negative average return of 0.0024%. Thereby a direct relation between volatility and stock return is established. To further validate descriptive models, an inferential statistics' model i.e. Bartlett's test is applied to investigate that there is statistically significant difference among the volatilities experienced by these stock markets and the result is significant even at 0.1% Significance level.
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| first_indexed | 2024-04-09T19:20:05Z |
| format | Article |
| id | doaj.art-5ff63927e7f54da8a05c120b5ce78b5c |
| institution | Directory Open Access Journal |
| issn | 2616-7476 1998-4162 |
| language | English |
| last_indexed | 2024-04-09T19:20:05Z |
| publishDate | 2010-06-01 |
| publisher | Shaheed Zulfikar Ali Bhutto Institute of Science and Technology |
| record_format | Article |
| series | JISR Management and Social Sciences & Economics |
| spelling | doaj.art-5ff63927e7f54da8a05c120b5ce78b5c2023-04-05T15:22:24ZengShaheed Zulfikar Ali Bhutto Institute of Science and TechnologyJISR Management and Social Sciences & Economics2616-74761998-41622010-06-018110.31384/jisrmsse/2010.08.1.2Volatility among Regional Stock Markets: An Empirical AnalysisNawaz Ahmad0adjunct faculty member at IQRA University, KarachiThis study is an attempt to measure volatilities among regional stock markets and to establish a relationship between stock returns and volatility, and to rank these markets with respect to volatility. For this purpose, six markets are considered i.e. KSE100, Sensex, Nikkei225, Hangseng, Shanghai and Kospi. Indices’ data consist of daily observations from January 2001 to August 2008. As a primary investigation, time series graph consists of historic data which has been observed depicting high correlations and a heteroskedastic patron (volatility) among the markets over the sample tenure which then formally measured and ranked by applying descriptive model of standard deviation followed by coefficient of variation which reveals that KSE has 66.23% volatility and 0.10% average return followed by Sensex, which has 63.39% volatility and 0.070% average return. Nikkei has, however, 22.19% volatility and a negative average return of 0.0024%. Thereby a direct relation between volatility and stock return is established. To further validate descriptive models, an inferential statistics' model i.e. Bartlett's test is applied to investigate that there is statistically significant difference among the volatilities experienced by these stock markets and the result is significant even at 0.1% Significance level. https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/289Volatilitystock returnsregional stock markets |
| spellingShingle | Nawaz Ahmad Volatility among Regional Stock Markets: An Empirical Analysis JISR Management and Social Sciences & Economics Volatility stock returns regional stock markets |
| title | Volatility among Regional Stock Markets: An Empirical Analysis |
| title_full | Volatility among Regional Stock Markets: An Empirical Analysis |
| title_fullStr | Volatility among Regional Stock Markets: An Empirical Analysis |
| title_full_unstemmed | Volatility among Regional Stock Markets: An Empirical Analysis |
| title_short | Volatility among Regional Stock Markets: An Empirical Analysis |
| title_sort | volatility among regional stock markets an empirical analysis |
| topic | Volatility stock returns regional stock markets |
| url | https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/289 |
| work_keys_str_mv | AT nawazahmad volatilityamongregionalstockmarketsanempiricalanalysis |