Research Paper on A comparison of Asian Developed and Emerging Markets reveals whether jumps have an impact on integrated volatility and equity market returns.

Description

Title: A comparison of Asian Developed and Emerging Markets reveals whether jumps have an impact on integrated volatility and equity market returns.

Abstract: In this study, we investigate the impact of jumps on integrated volatility and equity market returns. We do this by identifying monthly spikes and estimated realized volatility in prices for both developed and emerging markets from February 2001 to February 2020 using the swap variance (SwV) approach. All equity markets experience jumps, but emerging markets experience more jumps than developed markets do, and positive jumps occur more frequently than negative jumps. Averagely volatile markets in emerging markets experience higher returns during jump periods, whereas highly volatile markets in developed markets experience higher returns during jump periods. Additionally, during times of negative jumps, markets with low continuous returns and high volatility are more negatively impacted. Significant variations caused by jumps can be seen in the average ratio of jump variations to total variations. This pattern holds true in developed markets as well as markets that are merging: integrated volatility is high during periods of negative jumps. Furthermore, times of crises are when stock market volatility peaks. This study’s implications are helpful for both developed and emerging market portfolio managers as well as individual investors and the asset pricing model.

Keywords: jumps identification; swap variance; integrated volatility; realized volatility

Paper Quality: SCOPUS / Web of Science Level Research Paper

Subject: Economics

Writer Experience: 20+ Years

Plagiarism Report: Turnitin Plagiarism Report will be less than 10%

Restriction: Only one author may purchase a single paper. The paper will then indicate that it is out of stock.

What will I get after the purchase?

A turnitin plagiarism report of less than 10% in a pdf file and a full research paper in a word document.

In case you have any questions related to this research paper, please feel free to call/ WhatsApp on +919726999915