Empirical analysis of stock returns and volatility: evidence from Asian stock markets
The objective of this research isto measure and examine volatilities among important stock markets of Asia and to ascertain a causal relation between volatility and stock returns. For this purpose six markets KSE100 (Karachi, Pakistan), BSE Sensex (Mumbai, India), NIKKEI 225 (Tokyo, Japan), Hang Se...
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doaj-ebbb2ea298ed4acb9d83798b173456c02021-07-02T03:25:18ZengVilnius Gediminas Technical UniversityTechnological and Economic Development of Economy2029-49132029-49212016-11-0122610.3846/20294913.2016.1213204Empirical analysis of stock returns and volatility: evidence from Asian stock marketsNawaz Ahmad0Rizwan Raheem Ahmed1Jolita Vveinhardt2Dalia Streimikiene3Department of Business Administration, Iqra University, Defence View, Shaheed-e-Millat Road (Ext.), Karachi-75500, PakistanDepartment of Business Administration, Indus University, Block-17, Gulshan, Karachi-75500, PakistanInstitute of Sport Science and Innovations, Lithuanian Sports University, Sporto g. 6, LT-44221 Kaunas, LithuaniaInstitute of Sport Science and Innovations, Lithuanian Sports University, Sporto g. 6, LT-44221 Kaunas, Lithuania The objective of this research isto measure and examine volatilities among important stock markets of Asia and to ascertain a causal relation between volatility and stock returns. For this purpose six markets KSE100 (Karachi, Pakistan), BSE Sensex (Mumbai, India), NIKKEI 225 (Tokyo, Japan), Hang Seng (Hong Kong), Shanghai Stock Exchange (SSE) (Shanghai, China) and KOSPI (Seoul, South Korea) were considered. Stock market indices comprise of daily data from the period January 2002 to December 2009. The graphical representation of time series shows the preliminary examination of stock behaviors. The analysis shows the high correlation and heteroskedastic trend (volatility) among the stock markets in selected time period. After preliminary analysis the formal descriptive method of mean, standard deviation and coefficient of variation have been applied for measuring and ranking purposes. The results show that KOSPI has the highest average annual return of 12.67% and followed by BSE with 11.61%, whereas, KSE 100 has the least annual average returns of 9.31%. The highest volatility coefficient of 3.097 has been observed in Hang Seng (Hong Kong) followed by 2.87 in Nikkei (Tokyo). However, the KSE 100 observed the lowest volatility coefficient of 2.078. Bartlett’s test is applied for the inferential analysis to investigate whether the equality of volatility is the same in each market return. Finally, GARCH (1, 1) model is applied which concludes a significant ARCH (1) and GARCH (1) effects and confirms all markets’ returns are statistically significant since p < 0.01 and their Long Run Average Variances (LRAV) range from 1.52% to 2.54% for KSE100 Index and Shanghai Stock Exchange respectively. First published online: 23 Nov 2016 http://journals.vgtu.lt/index.php/TEDE/article/view/785ARCHGARCHvolatilitystock returnsAsian stock marketsLRAV |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Nawaz Ahmad Rizwan Raheem Ahmed Jolita Vveinhardt Dalia Streimikiene |
spellingShingle |
Nawaz Ahmad Rizwan Raheem Ahmed Jolita Vveinhardt Dalia Streimikiene Empirical analysis of stock returns and volatility: evidence from Asian stock markets Technological and Economic Development of Economy ARCH GARCH volatility stock returns Asian stock markets LRAV |
author_facet |
Nawaz Ahmad Rizwan Raheem Ahmed Jolita Vveinhardt Dalia Streimikiene |
author_sort |
Nawaz Ahmad |
title |
Empirical analysis of stock returns and volatility: evidence from Asian stock markets |
title_short |
Empirical analysis of stock returns and volatility: evidence from Asian stock markets |
title_full |
Empirical analysis of stock returns and volatility: evidence from Asian stock markets |
title_fullStr |
Empirical analysis of stock returns and volatility: evidence from Asian stock markets |
title_full_unstemmed |
Empirical analysis of stock returns and volatility: evidence from Asian stock markets |
title_sort |
empirical analysis of stock returns and volatility: evidence from asian stock markets |
publisher |
Vilnius Gediminas Technical University |
series |
Technological and Economic Development of Economy |
issn |
2029-4913 2029-4921 |
publishDate |
2016-11-01 |
description |
The objective of this research isto measure and examine volatilities among important stock markets of Asia and to ascertain a causal relation between volatility and stock returns. For this purpose six markets KSE100 (Karachi, Pakistan), BSE Sensex (Mumbai, India), NIKKEI 225 (Tokyo, Japan), Hang Seng (Hong Kong), Shanghai Stock Exchange (SSE) (Shanghai, China) and KOSPI (Seoul, South Korea) were considered. Stock market indices comprise of daily data from the period January 2002 to December 2009. The graphical representation of time series shows the preliminary examination of stock behaviors. The analysis shows the high correlation and heteroskedastic trend (volatility) among the stock markets in selected time period. After preliminary analysis the formal descriptive method of mean, standard deviation and coefficient of variation have been applied for measuring and ranking purposes. The results show that KOSPI has the highest average annual return of 12.67% and followed by BSE with 11.61%, whereas, KSE 100 has the least annual average returns of 9.31%. The highest volatility coefficient of 3.097 has been observed in Hang Seng (Hong Kong) followed by 2.87 in Nikkei (Tokyo). However, the KSE 100 observed the lowest volatility coefficient of 2.078. Bartlett’s test is applied for the inferential analysis to investigate whether the equality of volatility is the same in each market return. Finally, GARCH (1, 1) model is applied which concludes a significant ARCH (1) and GARCH (1) effects and confirms all markets’ returns are statistically significant since p < 0.01 and their Long Run Average Variances (LRAV) range from 1.52% to 2.54% for KSE100 Index and Shanghai Stock Exchange respectively.
First published online: 23 Nov 2016
|
topic |
ARCH GARCH volatility stock returns Asian stock markets LRAV |
url |
http://journals.vgtu.lt/index.php/TEDE/article/view/785 |
work_keys_str_mv |
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