Mala, Rajni and Reddy, Mahendra (2007) Measuring Stock Market Volatility in an Emerging Economy. International Research Journal of Finance and Economics, 8 . pp. 126-133. ISSN 1450-2887
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Abstract
Volatility of returns in financial markets can be a major stumbling block for attracting investment in small developing economies. In this study, we use the Autoregressive Conditional Heteroskedasticity (ARCH) models and its extension, the Generalized ARCH model was used to find out the presence of the stock market volatility on Fiji’s stock market. The analysis was done using a time series data for the period 2001-2005 on specific firms and it was found out that seven out of the sixteen firms listed on Fiji’s stock market is volatile. The volatility of stock returns were then regressed against
the interest rates and the results showed that the interest rates changes have a significant effect on stock market volatility. Using a priori theory and knowledge, the impact of factors like government regulations, low levels of liquidity on volatility were also derived.
| Item Type: | Journal Article |
|---|---|
| Uncontrolled Keywords: | Volatility, Stock market, GARCH Model |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce |
| Divisions: | School of Business and Management (SBM) |
| Depositing User: | Mahendra Reddy |
| Date Deposited: | 02 Feb 2025 23:40 |
| Last Modified: | 02 Feb 2025 23:43 |
| URI: | https://repository.usp.ac.fj/id/eprint/14487 |
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