Volatility among stock markets: investigation from SAARC countries

Dos Santos, Maria José Palma Lampreia

Publication

Volatility among stock markets: investigation from SAARC countries

2020-01-21Conference object

dc.contributor.author	Dos Santos, Maria José Palma Lampreia
dc.date.accessioned	2020-04-06T12:00:05Z
dc.date.available	2020-04-06T12:00:05Z
dc.date.issued	2020-01-21
dc.description.abstract	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.	pt_PT
dc.description.version	N/A	pt_PT
dc.identifier.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.	pt_PT
dc.identifier.uri	http://hdl.handle.net/10400.21/11418
dc.language.iso	eng	pt_PT
dc.peerreviewed	yes	pt_PT
dc.publisher	DINÂMIA'CET-ISCTE	pt_PT
dc.rights.uri	http://creativecommons.org/licenses/by-nc-sa/4.0/	pt_PT
dc.subject	Volatility	pt_PT
dc.subject	Stock markets	pt_PT
dc.subject	Returns	pt_PT
dc.subject	ARCH	pt_PT
dc.subject	GARCH	pt_PT
dc.subject	Mean reversion	pt_PT
dc.title	Volatility among stock markets: investigation from SAARC countries	pt_PT
dc.type	conference object
dspace.entity.type	Publication
oaire.citation.conferencePlace	ISCTE, Lisboa	pt_PT
oaire.citation.title	5ª Workshop DINÂMIA´CET-ISCTE-IUL Dinâmicas Socioeconómicas e Territorias Contemporâneas	pt_PT
person.familyName	Dos-Santos
person.givenName	Maria José Palma Lampreia
person.identifier.ciencia-id	011D-55C7-976C
person.identifier.orcid	0000-0002-1992-0419
person.identifier.scopus-author-id	56107451000
rcaap.rights	closedAccess	pt_PT
rcaap.type	conferenceObject	pt_PT
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