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Volatility of Stock Markets (an Analysis of South Asian and G8 Countries)

Author

Listed:
  • Muhammad Mansoor Baig

    (University of Sargodha Sub-campus Mianwali)

  • Waheed Aslam

    (University of Sargodha Sub-campus Mianwali)

  • Qaiser Malik

    (Foundation University Rawalpini)

  • Muhammad Bilal

    (University of Sargodha Sub-campus Mianwali)

Abstract

The objective of this study is to make an analysis of volatility of stock markets between South Asian Stock Markets and Stock Markets of Group of Eight Countries. This study important for the investors whose want to invest in stock markets. This study helps investors to determine what stock market is more volatile. To make the analysis three South Asian stock markets and Group of Eight countries stock markets are selected. South Asian stock markets indexes include KSE 100 (Pakistan), SENSEX (India), ASPI (Sri Lanka), CAC 40 (France), DAX (Germany), S &P / TSX Composite (Canada), FTSE MIB (Italy), RTS (Russia), Nikkei 225 (Japan), S & P 500 (USA) and FTSE 100 (UK). Data is collected from the period of January 1st 2005 to August 31st 2015. ARCH and GARCH model is used to analyze the volatility of South Asian Stock Markets and stock markets of Group of Eight Countries. The findings show that South Asian Stock Markets are less volatile while Stock Markets of Group of Eight Countries are high volatile. This study is useful for investment institutions and portfolio managers because it focuses on current issues and takes the current data.

Suggested Citation

  • Muhammad Mansoor Baig & Waheed Aslam & Qaiser Malik & Muhammad Bilal, 2015. "Volatility of Stock Markets (an Analysis of South Asian and G8 Countries)," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 11(6), pages 58-70, December.
    • Handle: RePEc:dug:actaec:y:2015:i:6:p:58-70
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    File URL: http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3043/2980
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    References listed on IDEAS

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    6. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "An Application of GARCH while investigating volatility in stock returns of the World," MPRA Paper 45089, University Library of Munich, Germany.
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    Cited by:

    1. M. MALLIKARJUNA & R. Prabhakara RAO, 2019. "Volatility experience of major world stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(621), W), pages 35-52, Winter.
    2. repec:agr:journl:v:4(621):y:2019:i:4(621):p:35-52 is not listed on IDEAS
    3. Andreea-Cristina PETRICĂ & Stelian STANCU & Alexandru TINDECHE, 2016. "Limitation of ARIMA models in financial and monetary economics," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 19-42, Winter.
    4. Andreea – Cristina PETRICA & Stelian STANCU, 2017. "Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models," Romanian Statistical Review, Romanian Statistical Review, vol. 65(1), pages 57-72, March.
    5. Andreea-Cristina PETRICĂ & Stelian STANCU & Alexandru TINDECHE, 2016. "Limitation of ARIMA models in financial and monetary economics," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 19-42, Winter.

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    Keywords

    ARCH; GARCH; Heteroscedasticity;
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