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Extreme-day return as a measure of stock market volatility: comparative study developed vs. emerging capital markets of the world
Gotland University, School of the Humanities and Social Science.
Gotland University, School of the Humanities and Social Science.
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper uses a new measure of volatility based on extreme day return occurrences and examines the relative prevailing volatility among worldwide stock markets during 1997-2009. Using several global stock market indexes of countries categorized as an emerging and developed capital markets are utilized. Additionally this study investigates well known anomalies namely Monday effect and January effect. Further using correlation analysis of co movement and extent of integration highlights the opportunities for international diversification among those markets. Evidences during this time period suggest volatility is not the only phenomena of emerging capital markets. Emerging markets offer opportunities of higher returns during volatility. Cross correlation analysis depicts markets have become more integrated during this time frame; still opportunities for higher returns prevail through global portfolio diversification.

Place, publisher, year, edition, pages
2010. , p. 45
Keywords [en]
Volatility, Extreme value, Emerging markets, International diversification
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hgo:diva-530OAI: oai:DiVA.org:hgo-530DiVA, id: diva2:323841
Presentation
2010-06-03, B24, Gotland University, 15:55 (English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2010-06-17 Created: 2010-06-12 Last updated: 2013-07-01Bibliographically approved

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Kabir, MuashabAhmed, Naeem
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf