Stock Market Volatility Examining North America Europe

Indian institute of management iim ahmedabad.

Stock market volatility examining north america europe. In order to analyse volatility behaviour and the influence of the global financial crisis both in. Substantial changes in volatility of. Vstoxx based on the euro stoxx 50 and vdax new based on. Examining north america europe and asia lakshmi balaa and gamini premaratneb national university of singapore department of economics abstract an understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk.

See all articles by priyanka singh priyanka singh. In order to estimate market volatility the egarch model was implemented. Price and volatility spillovers across north american european and asian stock markets. See all articles by gamini premaratne gamini premaratne.

Examining north america europe and asia an understanding of volatility in stock markets is important for determining the cost of capital and for assessing. Further evidence from the late 1980s suggests that inter market return correlations and volatil ity. The return spillover is modeled through var15 in which fifteen world indices representative of their stock market are considered. This paper examines price and volatility spillovers across north american european and asian stock markets.

Request pdf stock market volatility. 8 jan 2009 last revised. Examining north america europe and asia an understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Evidence from four european and four african frontier markets handbook of frontier markets 101016b978 0 12 803776 800003 3 39 54 2016.

Examining north america europe and asia. Op jindal global university. Jindal global business school. Similarly the correlations between stock market volatilities have also grown that is it has become more common for world equity markets to experience bouts of above average volatility concurrently.

With this goal twenty emerging stock markets have been analysed in the period between may 2002 and december 2013. This study examines the effects of the global financial crisis on the volatility of emerging stock markets. Case western reserve university weatherhead school. The effect of same day return in explaining the return spillover is also analyzed using var and ar with exogenous variables.

University of illinois at urbana champaign department of economics. National university of singapore economics working paper. Kambouroudis modeling and forecasting stock market volatility in frontier markets. University of brunei darussalam.