Title: Volatility study in some of the emerging stock markets: a GARCH approach

Authors: Navita Nathani; Silky Vigg Kushwah

Addresses: Department of Finance, Prestige Institute of Management, Gwalior Madhya Pradesh, India ' Department of Finance, New Delhi Institute of Management, New Delhi, India

Abstract: The current study analyses the volatility of stock indices of some developing and developed economies regarding the emerging index of India, Nifty. It also tries to understand the trends of the volatility of stock indices and the interdependence among the stock markets of these economies. Stock market indices of the USA, Japan, India, China and Iran have been regressed with the emerging stock market index of India. The study uses GARCH models to analyse the co-movement and volatility transmission among various stock indexes considered. The result indicates that ARCH and GARCH effect has been seen but the terms are not significant in Tepix, SSE Composite and Nikkei stock indices while significant among Nifty and Nasdaq Composite. The volatility interactions between Nifty and Nasdaq Composite are more prominent as compared to other stock indices considered and investors are suggested to study the movements of Nasdaq Composite before making an investment decision for Nifty.

Keywords: volatility; GARCH/ARCH; developing and developed nations; time series; emerging stock market.

DOI: 10.1504/WRSTSD.2021.10038838

World Review of Science, Technology and Sustainable Development, 2022 Vol.18 No.3/4, pp.364 - 378

Received: 14 Jun 2020
Accepted: 07 Jan 2021

Published online: 04 Jul 2022 *

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