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Advisor(s)
Abstract(s)
Stock market investment has attained popularity all over the world. Speculators try to invest in the stock markets when they booming and withdraw their investments when they declining. Volatility measure the range of fluctuation in the average return of any investment. It is important for investors to understand the volatility of stock markets. The main aim of this paper is to measure the volatilities among Asian stock markets between Jan 2013 to Dec 2018 to determine the direction of volatility and rank these stock markets on the basis of volatility, and to determine the flow of mean reversion and the number of days it takes to make adjustments in the short run. Methods include GARCH (1,1) model with significant effects of ARCH (1) and GARCH (1).. Results show that the volatility has been observed by BSE Sensex (Mumbai) that is 25.52, followed by 15.01 in DSE 20 (Dhaka), however, the S&P SL20 (Colombo) observed the lowest volatility among the stock returns with a coefficient of variation -77.97. BSE Sensex (Mumbai) has the slowest mean reversion since the sum of its GARCH coefficient is closest to 1. This study helps a lot in increasing the existing body of knowledge as no study has been conducted to measure the volatility and mean reversion of the stock returns of the indices of developing countries. This would help researchers in conduction new extended studies like incorporating exponential smoothening techniques and returns patrons.
Description
Keywords
Volatility Stock markets Returns ARCH GARCH Mean reversion
Citation
Dos Santos, M.J.P.L., (2020, jan, 21-22). Volatility among stock markets: Investigation from SAARC Countries. Comunicação apresentada no 5ª Workshop DINÂMIA´CET-ISCTE-IUL Dinâmicas Socioeconómicas e Territorias Contemporâneas, ISCTE, Lisboa.