出版社：Mediterranean Center of Social and Educational Research (MCSER)
摘要：In recent years, understanding the volatility has become more significant among investors. They are concerned about the risk and returns on their investment. Investors are basically induced by the flow of information which is closely related with volatility of stock prices. This study intends to understand the characteristics of volatility with the evidence from survey of literatures made available. This study also provides the insight of cause and effect of volatility of stock prices and also attempts to bring out various features of volatility such as volatility clustering, mean reversion and degree of volatility persistence. It is found that factors like information flow, trading volume, economical aspects and investor’s behaviour are the causes of volatility in the stock market. It also suggests that the stock markets around the world have evidenced asymmetry response and spillover effects of volatility.
关键词：Volatility;Asymmetry response;spillovers;clustering;leverage and contagion.
