IDEAS home Printed from https://ideas.repec.org/a/wsi/rpbfmp/v12y2009i04ns0219091509001757.html
   My bibliography  Save this article

Stock Returns and Volatility: Evidence from Select Emerging Markets

Author

Listed:
  • Ravinder Kumar Arora

    (International Management Institute, B-10, Qutab Institutional Area, New Delhi, India)

  • Himadri Das

    (International Management Institute, B-10, Qutab Institutional Area, New Delhi, India)

  • Pramod Kumar Jain

    (Department of Management Studies, Indian Institute of Technology Delhi, New Delhi, India)

Abstract

This paper investigates the behavior of stock returns and volatility in 10 emerging markets and compares them with those of developed markets under different measures of frequency (daily, weekly, monthly and annual) over the period January 1, 2002 to December 31, 2006. The ratios of mean return to volatility for emerging markets are found to be higher than those of developed markets. Sample statistics for stock returns of all emerging and developed markets indicate that return distributions are not normal and return volatility shows clustering. In most cases, GARCH (1, 1) specification is adequate to describe the stock return volatility. The significant lag terms in the mean equation of GARCH specification depend on the frequency of the return data. The presence of leverage effect in volatility behavior is examined using the TAR-GARCH model and the evidence indicates that is not present across all markets under all measures of frequency. Its presence in different markets depends on the measure of frequency of stock return data.

Suggested Citation

  • Ravinder Kumar Arora & Himadri Das & Pramod Kumar Jain, 2009. "Stock Returns and Volatility: Evidence from Select Emerging Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 567-592.
    • Handle: RePEc:wsi:rpbfmp:v:12:y:2009:i:04:n:s0219091509001757
    DOI: 10.1142/S0219091509001757
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219091509001757
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219091509001757?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dipasha Sharma, 2018. "Stock Market Performance and Efficiency of Banks in a Developing Economy: Evidence from the Indian Banking Sector," IIM Kozhikode Society & Management Review, , vol. 7(2), pages 178-193, July.
    2. Andy Wui Wing Cheng & Iris Wing Han Yip, 2017. "China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-57, June.
    3. Yew-Choe Lum & Sardar M. N. Islam, 2016. "Time Varying Behavior of Share Returns in Australia: 1988–2004," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
    4. Sharif Mozumder & Ghulam Sorwar & Kevin Dowd, 2013. "Option pricing under non-normality: a comparative analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 273-292, February.
    5. Angelos Kanas, 2014. "Uncovering a positive risk-return relation: the role of implied volatility index," Review of Quantitative Finance and Accounting, Springer, vol. 42(1), pages 159-170, January.
    6. Cheng-Few Lee & Jung-Bin Su, 2012. "Alternative statistical distributions for estimating value-at-risk: theory and evidence," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 309-331, October.
    7. Taner Sekmen, 2015. "Effect of the Subprime Crisis on Return and Volatility of the Turkish Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 7(3), pages 23-29.
    8. Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.

    More about this item

    Keywords

    Stock returns; volatility; emerging markets; GARCH models;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:12:y:2009:i:04:n:s0219091509001757. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.