Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1456358
Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models
Rizwan Raheem Ahmed
; Faculty of Management Sciences, Indus University, Gulshan, Pakistan
Jolita Vveinhardt
; Institute of Sport Science and Innovations, Lithuanian Sports University, Kaunas, Lithuania
Dalia Streimikiene
; Institute of Sport Science and Innovations, Lithuanian Sports University, Kaunas, Lithuania
Zahid Ali Channar
; Department of Business Administration, Sindh Madressa-tul-Islam University, Karachi, Pakistan
Sažetak
The objective of this research is to examine and compare the mean
reversion phenomenon in developed and emerging stock markets.
An important aim is to measure and compare the speed of mean
reversion and half-life of volatility shocks of emerging and developed
markets. For this purpose, we have selected five developed and seven
emerging markets, and used daily market indices for the period
of 1 January 2000 to 30 June 2016. We employed autoregressive
conditional heteroskedasticity – Lagrange multiplier (A.R.C.H.-L.M.),
generalised autoregressive conditional heteroskedasticity (G.A.R.C.H.)
(1, 1), and half-life volatility shock techniques to carry out this research.
The results of the study confirmed the mean-reverting process in
developed and emerging markets. The South Korean market has
the slowest mean reversion, and thus has the highest comparative
volatility over a longer period of time. However, the Pakistan stock
exchange exhibited the fastest mean reverting process. It is also
concluded that the relative volatilities are higher in emerging markets,
whereas the comparative volatilities are higher in developed markets.
Therefore, it is further concluded that the mean reversion process
is much faster in emerging indices except the South Korean and
Chinese markets. The study recommends that if investors want higher
returns in a shorter period of time then they should invest in emerging
markets.
Ključne riječi
Mean reversion; developed & emerging stock markets; half-life model; A.R.C.H.-L.M.; G.A.R.C.H. (1,1)
Hrčak ID:
206101
URI
Datum izdavanja:
3.12.2018.
Posjeta: 1.850 *