DESCRIPTIVE STATISTICS & VAR ESTIMATION: COMPARATIVE ANALYSIS OF STOCK MARKET RETURNS OF USA & ASIAN COUNTRIES
Keywords:
Volatility, Descriptive Analysis, Skewness, Kutosis, Vector Autoregressive Model
Abstract
The present study focused on volatility of seven stock market returns of USA and Asian countries. It included Brazil, USA, Hong Kong, South Korea, Japan, India and China for the period of 10 years from April 2007 to March 2017. The study was based on secondary data related to daily closing prices of the scripts of specific Indices of the sampled countries. Application of Descriptive Statistics and Vector Autoregressive (VAR) model provided evidence of positive and significant correlation of return volatility. The results showed that Indian Stock Market earned returns more than USA Stock Market and the other Asian countries earned very less returns as compared to Indian stock market.
References
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Kumar, R., & Dhankar, R. S. (2009). Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainity. Vikalpa - The Journal of Decision Makers, 34, pp. 25-36.
Park, J., and Fatemi, A. M. (1993). The Linkages between the Equity Markets of Pacific-Basin Countries and those of the U.S., U.K., and Japan: A Vector Autoregression Analysis. Global Finance Journal, 4: 49-64.
Raju, M. T. (2009). Stock Market Volatility: An International Comparison. Working Paper Series: 01/09.
Shin, J. (2005). Stock Returns and Volatility in Emerging Stock Markets. International Journal of Business and Economics, 4.1, pp. 31-43.
Sheu, H-J, & Chien, C. (2011). A Study of US and China’s Volatility Spillover Effects on Hong Kong and Taiwan. African Journal of Business Management, 5.13: 5232-5240.
Chukwuogor, C. (2006). Stock Market Return Analysis: Day of the Week Effect, Volatility of Returns: Evidence from European Financial Markets (1997 – 2004). International Research Journal of Finance and Economics, pp. 112 -124.
Dhankar, R. S., & Chakraborty, M. (2007). Non-Lineariies and GARCH Effects in the Emerging Stock Markets of South Asia. Vikalpa-The Journal of Decision Makers, 32 (3), pp. 23-37.
Gupta, R. K. (2013). Indian Stock Market & Its Interdependence with International Markets. Journal of Commerce, Economics· and Social Sciences, Vol. 1, No. 1, pp. 3-13.
Gupta, R. K., Jindal, N., & Gupta, A. (2015). Evidence on Volatility and Weak Form Efficiency of Indian Stock Markets. Advances in Management for Business Excellence, pp. 1-14.
Gupta, R. K., Jindal, N., & Vinayak, R. (2016). Evaluating Weak Form Efficiency of Indian Stock Market. Indian Journal of Empirical Researches in Commerce and Management, Vol. 1, pp. 14-21.
Jindal, N., Vinayak, R., & Gupta, R. K. (2016). Inter-Linkage of Indian Stock Market with Foreign Economies: An Illusion or not?”. Pacific Business Review International, Vol. 1, issue 2, 2016, pp. 83-93.
Juneja, S., & Gupta, R. K. (2015). Stock Markets Integration: Examining Volatility between Indian and International Stock Markets. ShodhGyan, Vol. 2, Issue 2, pp. 35-45.
Kumar, R., & Dhankar, R. S. (2009). Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainity. Vikalpa - The Journal of Decision Makers, 34, pp. 25-36.
Park, J., and Fatemi, A. M. (1993). The Linkages between the Equity Markets of Pacific-Basin Countries and those of the U.S., U.K., and Japan: A Vector Autoregression Analysis. Global Finance Journal, 4: 49-64.
Raju, M. T. (2009). Stock Market Volatility: An International Comparison. Working Paper Series: 01/09.
Shin, J. (2005). Stock Returns and Volatility in Emerging Stock Markets. International Journal of Business and Economics, 4.1, pp. 31-43.
Sheu, H-J, & Chien, C. (2011). A Study of US and China’s Volatility Spillover Effects on Hong Kong and Taiwan. African Journal of Business Management, 5.13: 5232-5240.
How to Cite
Dr. Anita Gupta, & Dr. Ravi Kumar Gupta. (2020). DESCRIPTIVE STATISTICS & VAR ESTIMATION: COMPARATIVE ANALYSIS OF STOCK MARKET RETURNS OF USA & ASIAN COUNTRIES. International Journal of Applied Service Marketing Perspectives, 9(01), 3710-3716. Retrieved from https://asmp.gfer.org/index.php/asmp/article/view/39
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