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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Bibliographic Details
Main Authors: Kabir, Muashab, Ahmed, Naeem
Format: Others
Language:English
Published: Högskolan på Gotland, Institutionen för humaniora och samhällsvetenskap 2010
Subjects:
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hgo:diva-530

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