Stock Market Volatility in the European Emerging and Frontier Markets
Stock Market Volatility in the European Emerging and Frontier Markets

Author(s): Lumír Kulhánek
Subject(s): Supranational / Global Economy, Business Economy / Management, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: emerging markets; frontier markets; volatility; stock market return; risk;
Summary/Abstract: The main objective of this paper is to investigate and evaluate development both of stock market returns and volatility in the European emerging and frontier markets. Both main quantitative characteristics of the stock markets development will be analysed (daily returns, risk), as well as the relationships between daily stock market indices returns changes and volatility. The comparison with developed stock markets and MSCI European Union index is also performed. In analysis are used daily values of stock market indices for the sample period from May 2002 to May 2016, which is also divided into two non-equal length sub periods with the beginning of the Euro area sovereign debt crisis. We found that only three frontier markets of the European Union have positive returns both in pre-crisis and crisis period. The emerging stock markets in comparison with frontier markets are reasonably highly correlated with each other and with MSCI European Union index. Very weak correlations of frontier markets of the European Union furthermore decreased in Euro area sovereign debt crisis period.

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