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Stock Market Volatility and Persistence: Evidence from High-Income and Middle-Income Economies

Author

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  • Abayomi Oredegbe
  • Oye Abioye

Abstract

This study examines the volatility of stock market indices in high-income and middle-income economies. Relying on daily closing prices from January 4, 2005 to May 4, 2021 and using the Generalized Autoregressive Conditional Heteroscedastic (GARCH) model with one ARCH term and one GARCH term, the study finds evidence of long memory and mean reversion, suggesting that volatility persists but that it returns to its mean. In addition, the study finds that the latest news and prior information about volatility influence the volatility of indices, but prior information exerts greater influence. By providing a deeper understanding of stock market volatility in high-income and middle-income economies, this study contributes to the literature and provides investors, policymakers, and regulators additional insight.

Suggested Citation

  • Abayomi Oredegbe & Oye Abioye, 2022. "Stock Market Volatility and Persistence: Evidence from High-Income and Middle-Income Economies," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(8), pages 1-56, August.
    • Handle: RePEc:ibn:ijefaa:v:14:y:2022:i:8:p:56
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    References listed on IDEAS

    as
    1. Emna Abdennadher & Slaheddine Hellara, 2018. "Causality and contagion in emerging stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 18(4), pages 300-311, December.
    2. Peh Ying Qian & John Francis Diaz, 2017. "Volatility Integration of Global Stock Markets with the Malaysian Stock Market: A Multivariate GARCH Approach," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, vol. 54(1), pages 83-117, June.
    3. repec:agr:journl:v:4(621):y:2019:i:4(621):p:35-52 is not listed on IDEAS
    4. M. MALLIKARJUNA & R. Prabhakara RAO, 2019. "Volatility experience of major world stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(621), W), pages 35-52, Winter.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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