TAILIEUCHUNG - Stock Market Volatility – An International Comparison

The purpose of this paper is to analyse the risk-neutral density derived from prices of DAX options. We first estimate two specifications of the RND. Then, we focus on observable factors that may drive changes in the moments of the RND. For this purpose, we investigate the impact of various macroeconomic and financial variables on risk-neutral densities of stock market movements. In this way, we attempt to uncover relationships between the implied volatility, skewness and kurtosis computed from the RND and the underlying fundamentals of the stock market. Our paper offers two contributions to the literature: First, we investigate RNDs for the German stock market, which. | Securities and Exchange Board of India Stock Market Volatility - An International Comparison M. T. Raju Anirban Ghosh April 2004 Working Paper Series No. 8 Stock Market Volatility - An International Comparison M. T. Raju Anirban Ghosh Working Paper Series No. 8 The views expressed in this paper are those of the authors and do not necessarily reflect those of the Securities and Exchange Board of India. We sincerely thank Shri G. N. Bajpai Chairman SEBI for his unlimited support and encouragement in conducting research work. But for him it would not have been possible to bring out this paper timely. We also thank many of our colleagues for their comments and suggestions. Contents Foreword i Acknowledgement iii SEBI v Abstract vii 1. Stock Market Volatility An International Comparison 1 2. Methodology 4 3. Analysis of Results 8 4. Inter and Intra-day Volatility 11 5. Intra-day Volatility and Developed Capital Markets 12 6. Emerging Capital Markets 13 7. Indian Market 13 8. High and Low Volatility Volatility Transmission 14 9. Extreme Volatility Analysis India 15 10. Return Squared Volatility 15 11. Return Squared Analysis 16 12. Conclusion and Recommendation 17 References 19 SEBI Working Paper .

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