Stock Market Volatility and Return Analysis: A Systematic Literature Review
In the field of business research method, a literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthiness of these types of reviews. This research provid...
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-05-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/22/5/522 |
| _version_ | 1797568811535171584 |
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| author | Roni Bhowmik Shouyang Wang |
| author_facet | Roni Bhowmik Shouyang Wang |
| author_sort | Roni Bhowmik |
| collection | DOAJ |
| description | In the field of business research method, a literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthiness of these types of reviews. This research provides a literature review using a systematic database to examine and cross-reference snowballing. In this paper, previous studies featuring a generalized autoregressive conditional heteroskedastic (GARCH) family-based model stock market return and volatility have also been reviewed. The stock market plays a pivotal role in today’s world economic activities, named a “barometer” and “alarm” for economic and financial activities in a country or region. In order to prevent uncertainty and risk in the stock market, it is particularly important to measure effectively the volatility of stock index returns. However, the main purpose of this review is to examine effective GARCH models recommended for performing market returns and volatilities analysis. The secondary purpose of this review study is to conduct a content analysis of return and volatility literature reviews over a period of 12 years (2008–2019) and in 50 different papers. The study found that there has been a significant change in research work within the past 10 years and most of researchers have worked for developing stock markets. |
| first_indexed | 2024-03-10T20:02:24Z |
| format | Article |
| id | doaj.art-6ded3872b87146e6bf4578b2b6978e3a |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-03-10T20:02:24Z |
| publishDate | 2020-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-6ded3872b87146e6bf4578b2b6978e3a2023-11-19T23:26:57ZengMDPI AGEntropy1099-43002020-05-0122552210.3390/e22050522Stock Market Volatility and Return Analysis: A Systematic Literature ReviewRoni Bhowmik0Shouyang Wang1School of Economics and Management, Jiujiang University, Jiujiang 322227, ChinaAcademy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, ChinaIn the field of business research method, a literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthiness of these types of reviews. This research provides a literature review using a systematic database to examine and cross-reference snowballing. In this paper, previous studies featuring a generalized autoregressive conditional heteroskedastic (GARCH) family-based model stock market return and volatility have also been reviewed. The stock market plays a pivotal role in today’s world economic activities, named a “barometer” and “alarm” for economic and financial activities in a country or region. In order to prevent uncertainty and risk in the stock market, it is particularly important to measure effectively the volatility of stock index returns. However, the main purpose of this review is to examine effective GARCH models recommended for performing market returns and volatilities analysis. The secondary purpose of this review study is to conduct a content analysis of return and volatility literature reviews over a period of 12 years (2008–2019) and in 50 different papers. The study found that there has been a significant change in research work within the past 10 years and most of researchers have worked for developing stock markets.https://www.mdpi.com/1099-4300/22/5/522stock returnsvolatilityGARCH family modelcomplexity in market volatility forecasting |
| spellingShingle | Roni Bhowmik Shouyang Wang Stock Market Volatility and Return Analysis: A Systematic Literature Review Entropy stock returns volatility GARCH family model complexity in market volatility forecasting |
| title | Stock Market Volatility and Return Analysis: A Systematic Literature Review |
| title_full | Stock Market Volatility and Return Analysis: A Systematic Literature Review |
| title_fullStr | Stock Market Volatility and Return Analysis: A Systematic Literature Review |
| title_full_unstemmed | Stock Market Volatility and Return Analysis: A Systematic Literature Review |
| title_short | Stock Market Volatility and Return Analysis: A Systematic Literature Review |
| title_sort | stock market volatility and return analysis a systematic literature review |
| topic | stock returns volatility GARCH family model complexity in market volatility forecasting |
| url | https://www.mdpi.com/1099-4300/22/5/522 |
| work_keys_str_mv | AT ronibhowmik stockmarketvolatilityandreturnanalysisasystematicliteraturereview AT shouyangwang stockmarketvolatilityandreturnanalysisasystematicliteraturereview |