IDEAS home Printed from https://ideas.repec.org/a/ris/joeasd/0038.html

Time-Varying Properties of Stock Returns: An empirical Perspective

Author

Listed:
  • Samuel Tabot Enow

    (Research associate, The IIE Varsity college, Durban, South Africa)

Abstract

Properties of stock returns have always been an integral aspect in asset allocation and portfolio management. More specifically, the dynamic nature of stock returns, provides nuanced patterns that highlight the inherent complexity of financial markets. The aim of this study was to explore the time varying properties of stock returns in international markets. A GARCH and Chow Test was used for four financial markets from June 04, 2018, to June 04, 2023. The findings revealed that stock returns exhibit timedependent behaviour, challenging traditional assumptions of constant parameters with distinct phases of volatility clustering, illustrated by periods of heightened market turbulence followed by relative calmness. Additionally, the study revealed a shift in structural breaks which provided valuable insights into the evolving relationships between stock returns. These findings have significant implications for investment strategies, risk management, and financial modelling as recognizing the evolving nature of stock returns allows for more robust portfolio construction and improved decision-making in an ever-changing financial landscape

Suggested Citation

  • Samuel Tabot Enow, 2023. "Time-Varying Properties of Stock Returns: An empirical Perspective," Journal of Economic and Social Development, Clinical Journals Press, vol. 10(02), pages 01-05.
    • Handle: RePEc:ris:joeasd:0038
    as

    Download full text from publisher

    File URL: https://www.jesd-online.com/articles/timevarying-properties-of-stock-returns-an-empirical-perspective.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2020. "The memory of stock return volatility: Asset pricing implications," Journal of Financial Markets, Elsevier, vol. 47(C).
    2. Mert Topcu & Ibrahim Yagli & Furkan Emirmahmutoglu, 2021. "COVID-19 and stock market volatility: A time-varying perspective," Economics Bulletin, AccessEcon, vol. 41(3), pages 1681-1689.
    3. Huber, Christoph & Huber, Jürgen & Kirchler, Michael, 2022. "Volatility shocks and investment behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 56-70.
    4. Samuel Tabot Enow, 2022. "Modelling Stock Market Prices Using the Open, High and Closes Prices. Evidence from International Financial Markets," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 15(3), pages 52-59, December.
    5. Samuel Tabot Enow, 2023. "Exploring Volatility clustering financial markets and its implication," Journal of Economic and Social Development, Clinical Journals Press, vol. 10(02), pages 01-05.
    6. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    8. Samuel Tabot Enow, 2023. "Exploring Volatility clustering financial markets and its implication," Journal of Economic and Social Development, Clinical Journals Press, vol. 10(02), pages 01-05.
    9. Wen, Fenghua & Liu, Zhen & Cao, jiahui & Zhang, Yun & Yin, Zhujia, 2022. "Mood seasonality: Evidence from the Chinese A-share market," Finance Research Letters, Elsevier, vol. 46(PA).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Samuel Tabot Enow, 2023. "Exploring Volatility clustering financial markets and its implication," Journal of Economic and Social Development, Clinical Journals Press, vol. 10(02), pages 01-05.
    2. Samuel Tabot Enow, 2025. "Heteroskedastic behaviour of stock prices: Evidence from international financial markets," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 14(5), pages 275-279, July.
    3. Samuel Tabot Enow, 2023. "Exploring Volatility clustering financial markets and its implication," Journal of Economic and Social Development, Clinical Journals Press, vol. 10(02), pages 01-05.
    4. Samuel Tabot Enow, 2025. "Modelling financial time series with threshold nonlinearity," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 14(8), pages 152-156, December.
    5. Till Barz & Andreas Nastansky, 2024. "Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen," Statistische Diskussionsbeiträge 57, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
    6. Samuel Tabot Enow, 2025. "Phase distribution and phase correlation: Evidence in international financial markets," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 7(2), pages 244-249, April.
    7. Samuel Tabot Enow, 2025. "An empirical investigation of the long memory effect on the relationship between downside risk and stock returns: Evidence from international stock markets," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 14(8), pages 213-219, December.
    8. Ming Che Lee, 2025. "A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting," Mathematics, MDPI, vol. 13(19), pages 1-22, September.
    9. Emeka Nkoro & Aham Kelvin Uko, 2016. "Exchange Rate and Inflation Volatility and Stock Prices Volatility: Evidence from Nigeria, 1986-2012," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-4.
    10. Minot, Nicholas, 2014. "Food price volatility in sub-Saharan Africa: Has it really increased?," Food Policy, Elsevier, vol. 45(C), pages 45-56.
    11. Tomanova, Lucie, 2013. "Exchange Rate Volatility and the Foreign Trade in CEEC," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 267, Ekonomik Yaklasim Association.
    12. Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement, 2007. "Finite sample multivariate structural change tests with application to energy demand models," Journal of Econometrics, Elsevier, vol. 141(2), pages 1219-1244, December.
    13. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    14. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    15. Mushtaq, Hina & Ishtiaq, Muhammad & Jamal, Surayya & Raza Rizvi, Syed Maisam & Raza, Hamad, 2026. "Regime-Switching volatility and risk quantification in South Asian and developed stock Markets: A Comparative perspective using Markov-Switching GARCH with MLE and MCMC estimations," The North American Journal of Economics and Finance, Elsevier, vol. 82(C).
    16. Adugna Lemi & Sisay Asefa, 2009. "Differential Impacts of Economic Volatility and Governance on Manufacturing and Non-Manufacturing Foreign Direct Investments: The Case of US Multinationals in Africa," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 35(3), pages 367-395.
    17. Zia-Ur- Rahman, 2019. "Influence of Excessive Expenditure of the Government in Perspective of Interest Rate and Money Circulation Which in Turn Affects the Growing Process in Pakistan," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 6(2), pages 120-129.
    18. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
    19. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
    20. Henry, Olan T. & Olekalns, Nilss & Suardi, Sandy, 2007. "Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies," Economics Letters, Elsevier, vol. 94(3), pages 383-388, March.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • A11 - General Economics and Teaching - - General Economics - - - Role of Economics; Role of Economists

    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:ris:joeasd:0038. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Marijan Cingula (email available below). General contact details of provider: http://www.eclinicalsci.org/ .

    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.