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2014•Afro-Asian J of Finance and AccountingRequires access

The financial crisis of 2008 and stock market volatility - analysis and impact on emerging economies pre and post crisis

Shailesh Rastogi

Open publisher page 40 citations

Abstract

Stock market volatility plays a very important role in making or marring the fortunes of investors. The study of volatility becomes more important during extreme conditions such as financial crisis. This paper through GARCH, TGARCH and EGARCH models analyses and compares the volatility before and after the financial crisis of 2008. The study has been conducted on the emerging economies and comes out with quite interesting results. It concludes that the impact of the crisis on the volatility and leverage effect has been significant on the stock markets of different nations but the direction of the impact has been mixed.

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What this paper is about

Stock market volatility plays a very important role in making or marring the fortunes of investors. The study of volatility becomes more important during extreme conditions such as financial crisis. This paper through GARCH, TGARCH and EGARCH models analyses and compares the volatility before and after the financial crisis of 2008. The study has been conducted on the emerging economies and comes out with quite interesting results. It concludes that the impact of the crisis on the volatility and leverage effect has been significant on the stock markets of different nations but the direction of the impact has been mixed.

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OpenAlex reports 40 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

Stock market volatility plays a very important role in making or marring the fortunes of investors. The study of volatility becomes more important during extreme conditions such as financial crisis. This paper through GARCH, TGARCH and EGARCH models analyses and compares the volatility before and after the financial crisis of 2008. The study has been conducted on the emerging economies and comes out with quite interesting results. It concludes that the impact of the crisis on the volatility and leverage effect has been significant on the stock markets of different nations but the direction of the impact has been mixed.

Key concepts: Volatility (finance), Financial crisis, Economics, Emerging markets, Stock market, Autoregressive conditional heteroskedasticity, Stock (firearms), Leverage (statistics)

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