Stock Market Volatility and Return Analysis: A Systematic Literature Review

doi:10.3390/e22050522

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	Stock Market Volatility and Return Analysis: A Systematic Literature Review
	Bhowmik, Roni 1,2; Wang, Shouyang 3
	2020-05-01
发表期刊	ENTROPY
卷号	22 期号:5 页码:18
摘要	In the field of business research method, a literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthiness of these types of reviews. This research provides a literature review using a systematic database to examine and cross-reference snowballing. In this paper, previous studies featuring a generalized autoregressive conditional heteroskedastic (GARCH) family-based model stock market return and volatility have also been reviewed. The stock market plays a pivotal role in today's world economic activities, named a "barometer" and "alarm" for economic and financial activities in a country or region. In order to prevent uncertainty and risk in the stock market, it is particularly important to measure effectively the volatility of stock index returns. However, the main purpose of this review is to examine effective GARCH models recommended for performing market returns and volatilities analysis. The secondary purpose of this review study is to conduct a content analysis of return and volatility literature reviews over a period of 12 years (2008-2019) and in 50 different papers. The study found that there has been a significant change in research work within the past 10 years and most of researchers have worked for developing stock markets.
关键词	stock returns volatility GARCH family model complexity in market volatility forecasting
DOI	10.3390/e22050522
收录类别	SCI
语种	英语
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000541900700070
出版者	MDPI
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51685
专题	中国科学院数学与系统科学研究院
通讯作者	Bhowmik, Roni
作者单位	1.Jiujiang Univ, Sch Econ & Management, Jiujiang 322227, Peoples R China 2.Daffodil Int Univ, Dept Business Adm, Dhaka 1207, Bangladesh 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Bhowmik, Roni,Wang, Shouyang. Stock Market Volatility and Return Analysis: A Systematic Literature Review[J]. ENTROPY,2020,22(5):18.
APA	Bhowmik, Roni,&Wang, Shouyang.(2020).Stock Market Volatility and Return Analysis: A Systematic Literature Review.ENTROPY,22(5),18.
MLA	Bhowmik, Roni,et al."Stock Market Volatility and Return Analysis: A Systematic Literature Review".ENTROPY 22.5(2020):18.