Literature review on stock market volatility
From: Chuck P.
Category: chronological order
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The analysis and modelling of the volatility of stock markets is of critical importance for option pricing and risk management in different financial markets around the world today. The volatility of the UK, US and Japanese markets are chosen for investigation and an application within the Black and Scholes option pricing framework discussed. This proposal gives an outline of the literature, methodology and data to be used and an outline of the project structure. The international stock markets are constantly changing over time and the analysis and modelling of the volatility of these markets is one of the most important factors in option trading and risk management. Over the last thirty years there have been major changes in the financial markets. These changes make volatility modelling a difficult task for academicians and practitioners.
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Stock Market Efficiency of Pakistan Stock Exchange a Review of Literature from
Stock Market Volatility: A Review of the Empirical Literature
Volatility is defined as the spread of all likely outcomes of an uncertain variable Poon, Statistically, it is often measured as the sample standard deviation as seen below , but can also be measured by variance. The common misconception is to equate volatility to risk. However, whilst volatility is related to risk, it is not the same. Risk represents an undesirable outcome, whilst volatility is a measure for uncertainty that could arise from a positive outcome. Furthermore, volatility as a measure for the spread of a distribution contains no information on the shape, this represents another reason for volatility being an imperfect measure for risk. The sole exception to this being a normal distribution or lognormal distribution where mean and standard deviation are appropriate statistics for the whole distribution Poon,
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Stock Market Volatility and Return Analysis: A Systematic Literature Review
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Unfortunately for many investors, the general direction of those changes has been downward. For some researchers in financial economics, the interesting question is: what drives the volatility itself? The evidence they have uncovered over the last few decades sheds light on the efficiency of the stock market and points to some important implications for economic forecasters and investors. In this Economic Letter I survey the academic literature on the properties and causes of stock market volatility, focusing on the debate on whether the stock market varies excessively, how volatility changes over time, and some of the underlying components of volatility.
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