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Impulsive Clustering and Leverage Effect of Emerging Stock Market with Special Reference to Brazil, India, Indonesia, and Pakistan


Arya Kumar and Saroj Kanta Biswal
Abstract

In the financial market the decision on pricing, risk management and portfolio management are important elements. The right decision depends on the characteristics of stock market volatility. Several researches are done on stock market to test the volatility clustering and leverage effect of individual stock market. Therefore this paper will study the volatility and leverage effect of four topfuture stock markets i.e. Brazil, India, Indonesia and Pakistan which are found to be emerging in last decade. The study considers the return of the average price (open, close, high, and low) for 5years from 1st January 2014 to 31st October 2018. The analysis of volatility existence is tested through GARCH family model and the leverage effect is tested by EGARCH. The output confirms that ARCH/GARCH models can predict the characteristics of the stock market. Adding to it the result confirms the presence of volatility clustering and leverage effect that is the good news affects the future stock market than bad news.

Volume 11 | 11-Special Issue

Pages: 33-37

DOI: 10.5373/JARDCS/V11SP11/20192925