Journal of International Business and Economy

file #1   ¦¢    4_Tripathy_and_Garg_(2013).pdf (399.8 KB)   download : 29
subject   ¦¢
Forecasting Stock Market Volatility: Evidence from Six Emerging Markets
Naliniprava Tripathy and Ashish Garg
Volume 14, Number 2, Fall 2013, pp. 69~93

This paper forecasts the stock market volatility of six emerging countries by using daily observations of indices over the period of January 1999 to May 2010 by using ARCH, GARCH, GARCH-M, EGARCH and TGARCH models. The study reveals the positive relationship between stock return and risk only in Brazilian stock market. The analysis exhibits that the volatility shocks are quite persistent in all country¡¯s stock market. Further the asymmetric GARCH models find a significant evidence of asymmetry in stock returns in all six country¡¯s stock markets. This study confirms the presence of leverage effect in the returns series and indicates that bad news generate more impact on the volatility of the stock price in the market. The study concludes that volatility increases disproportionately with negative shocks in stock returns. Hence investors are advised to use investment strategies by analyzing recent and historical news and forecast the future market movement while selecting portfolio for efficient management of financial risks to reap benefits in the stock markets.

Key Words: GARCH, EGARCH, TGARCH, GARCH-M, stock market volatility

hit : 3246      
prev ¦¢
Export-led Growth Hypothesis: Econometric Evidence from Malaysia
Hassanudin Mohd Thas Thaker, Tan Siew Ee, and Sushant Vaidik
Volume 14, Number 2, Fall 2013, pp. 95~112
next ¦¢
Moving beyond FDI and Clusters: Platform Perspective towards Mutual Value Creation
So Hyun Yim
Volume 14, Number 2, Fall 2013, pp. 49~67