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An Econometric Investigation of Market Volatility and Efficiency: A Study of Small Cap's Stock Indices

In: Linear and Non-Linear Financial Econometrics -Theory and Practice

Author

Listed:
  • Muhammad Jawad
  • Munazza Naz

Abstract

By utilization the context of econometric models, this chapter investigates three significant research parameters and tries to find out the positive outcome for further studies. The first question, is the volatility of Small Cap foreseeable?. The second question, does the volatility of Small Cap exhibition the same pragmatic regularities stated in the literature about the behavior of further stock prices?, The third and Final question, can Small Cap clear the test of market efficiency?. The results of these research questions will provide the answers of following objectives: First, economic representatives investing in Small Cap Stock markets. Second, the business professors/professionals/educationist is more concerned in Small Cap for their teaching and research. Third, the policy makers who are observing the stock market volatilities because of its significances and impulsive behavior to invest for more incentives among other consequences.

Suggested Citation

  • Muhammad Jawad & Munazza Naz, 2021. "An Econometric Investigation of Market Volatility and Efficiency: A Study of Small Cap's Stock Indices," Chapters, in: Mehmet Kenan Terzioglu & Gordana Djurovic & Martin M. Bojaj (ed.), Linear and Non-Linear Financial Econometrics -Theory and Practice, IntechOpen.
    • Handle: RePEc:ito:pchaps:213140
    DOI: 10.5772/intechopen.94119
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    More about this item

    Keywords

    ARCH type models; market volatility; market efficiency; small Cap's stock;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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