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...
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Högskolan på Gotland, Institutionen för humaniora och samhällsvetenskap
2010
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ndltd-UPSALLA1-oai-DiVA.org-hgo-5302013-07-02T04:20:11ZExtreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the worldengKabir, MuashabAhmed, NaeemHögskolan på Gotland, Institutionen för humaniora och samhällsvetenskapHögskolan på Gotland, Institutionen för humaniora och samhällsvetenskap2010VolatilityExtreme valueEmerging marketsInternational diversificationBusiness and economicsEkonomiThis 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 utilized. Additionally this study investigates well known anomalies namely Monday effect and January effect. Further using correlation analysis of co movement and extent of integration highlights the opportunities for international diversification among those markets. Evidences during this time period suggest volatility is not the only phenomena of emerging capital markets. Emerging markets offer opportunities of higher returns during volatility. Cross correlation analysis depicts markets have become more integrated during this time frame; still opportunities for higher returns prevail through global portfolio diversification. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:hgo:diva-530application/pdfinfo:eu-repo/semantics/openAccess |
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English |
format |
Others
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Volatility Extreme value Emerging markets International diversification Business and economics Ekonomi |
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Volatility Extreme value Emerging markets International diversification Business and economics Ekonomi Kabir, Muashab Ahmed, Naeem Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world |
description |
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 utilized. Additionally this study investigates well known anomalies namely Monday effect and January effect. Further using correlation analysis of co movement and extent of integration highlights the opportunities for international diversification among those markets. Evidences during this time period suggest volatility is not the only phenomena of emerging capital markets. Emerging markets offer opportunities of higher returns during volatility. Cross correlation analysis depicts markets have become more integrated during this time frame; still opportunities for higher returns prevail through global portfolio diversification. |
author |
Kabir, Muashab Ahmed, Naeem |
author_facet |
Kabir, Muashab Ahmed, Naeem |
author_sort |
Kabir, Muashab |
title |
Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world |
title_short |
Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world |
title_full |
Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world |
title_fullStr |
Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world |
title_full_unstemmed |
Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world |
title_sort |
extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world |
publisher |
Högskolan på Gotland, Institutionen för humaniora och samhällsvetenskap |
publishDate |
2010 |
url |
http://urn.kb.se/resolve?urn=urn:nbn:se:hgo:diva-530 |
work_keys_str_mv |
AT kabirmuashab extremedayreturnasameasureofstockmarketvolatilitycomparativestudydevelopedvsemergingcapitalmarketsoftheworld AT ahmednaeem extremedayreturnasameasureofstockmarketvolatilitycomparativestudydevelopedvsemergingcapitalmarketsoftheworld |
_version_ |
1716590180220010496 |