Volatility Among Regional Stock Markets: An Empirical Analysis

Journal Of Independent Studies and Research - MSSE, Vol. 8, No. 1, Jan. 2010, pp 17-28.

12 Pages Posted: 25 May 2012

See all articles by Nawaz Ahmad

Nawaz Ahmad

RTS (Research, Trainings, and Solutions); Institute of Business Management (IoBM)

Date Written: Aug 7, 2009

Abstract

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 primery investigation, time series graph consists of historic data which has been observed dipicting 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 coeffecient 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 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.

Keywords: Volatility, Stock returns, regional stock markets

JEL Classification: C1, G1

Suggested Citation

Ahmad, Nawaz, Volatility Among Regional Stock Markets: An Empirical Analysis (Aug 7, 2009). Journal Of Independent Studies and Research - MSSE, Vol. 8, No. 1, Jan. 2010, pp 17-28. . Available at SSRN: https://ssrn.com/abstract=2065991

Nawaz Ahmad (Contact Author)

RTS (Research, Trainings, and Solutions) ( email )

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9th Nishat Lane, DHA 6
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00923009292422 (Phone)

Institute of Business Management (IoBM) ( email )

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Karachi, Sindh 75190
Pakistan

HOME PAGE: http://www.faculty.iobm.edu.pk/staff/nawaz-ahmad/

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