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The Volatility Structure of Global Financial Markets: A Comparative Analysis

Author

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  • Lakshmi Viswanathan
  • S. Maheswaran

Abstract

The study is basically an extension of the k-day Vol ratio analysis on Nifty Index, proposed by Viswanathan and Maheswaran (2016). It examines the impact of the global financial crisis of 2008 on the structure of volatility of global indices (S&P500, FTSE100 and DAX). The global indices did not experience a significant change in volatility structure. On comparison, the behavior of volatility of NIFTY index subsequent to the financial crisis is found to be similar to that of global indices. The present study indicates that due to the crisis, NIFTY has joined the league of developed capital markets with respect to the structure of volatility.

Suggested Citation

  • Lakshmi Viswanathan & S. Maheswaran, 2017. "The Volatility Structure of Global Financial Markets: A Comparative Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(3), pages 295-306.
    • Handle: RePEc:asi:aeafrj:v:7:y:2017:i:3:p:295-306:id:1557
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    Cited by:

    1. Setyawati, Irma, 2018. "Global financial crisis 2008 and its vulnerability in SAARC countries," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(4), pages 766-776, August.

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