Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world
This paper uses a new measure of volatility based on extreme day return occurrences and examines the relative prevailing volatility among worldwide stock markets during 1997-2009. Using several global stock market indexes of countries categorized as an emerging and developed capital markets are util...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Högskolan på Gotland, Institutionen för humaniora och samhällsvetenskap
2010
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hgo:diva-530 |