Essays on Stock Return and Volatility in Asian Stock Markets Research Proposal

Download full paperFile format: .doc, available for editing

The paper "Stock Return and Volatility in Asian Stock Markets" is a great example of a research proposal on macro and microeconomics. Over the past three decades, the world has experienced a great move towards globalisation. One key aspect that has been at the centre of the globalisation process is financial liberalisation, particularly in emergent and developing economies. This has resulted in external linkages in the form of private investments, trade and capital mobility across different parts of the world. Capital mobility has been particularly high in the emerging Asian economies following the deregulation and thus opening up of these economies.

This process has come under serious attack from some of the prominent economists. Most of these critics argue that free capital mobility engenders financial and macroeconomic shakiness in the emerging markets (Venetis and Peel, 2005). Stiglitz (2002), in criticising the U. S. Treasury and the International Monetary Fund (IMF), claims that compelling emerging economies to lessen checks on capital mobility all through the 1990s was greatly reckless. Stiglitz argues that the relaxing of capital mobility controls were the main if not the sole contributors to several financial crises in the emerging markets, such as Mexico 1994, Asian Financial Crisis 1997, and Russia 1998, among others.

Even the IMF has condemned unrestricted capital mobility and has offered some support to capital controls. Rodrik and Kaplan (2003) indicate that the criticism has mainly been informed by the lack the institutional strength in most of the emerging markets to capitalise on an open capital account. They observe that poorly established capital markets plus weak financial organisation convert large changes in capital mobility to volatility. The volatility has major effects on the economy particularly on the cost of capital and investments decisions.

This volatility tends to increase when there is a financial crisis and stock market returns tend to behave in a similar way.


Alper, C.E. Fendoglu, S. and Saltoglu, B.M. 2009, Volatility forecast performance under market stress: evidence from emerging and developed stock markets. Working Paper 04/2009. Turkey: Bogazici University, Department of Economics.

Badhani, K.N. 2009, ‘Response asymmetry in return and volatility spill-over from the US to Indian stock market,’ Journal of Applied Finance, vol. 15, no. 9, pp. 22-45.

Bekaert, G. Wu, G. 2000, ‘Asymmetric volatility and risk in equity markets,’ Review of Finance Studies, vol. 13, pp. 1-42

Berry, D.B. and Howe, K.M. 1994, ‘Public information arrival,’ Journal of Finance, vol. 49, no. 4, pp. 1331-1346.

Black, F. 1976, ‘Studies of stock prices volatility changes,’ pp.177-181.

Campbell, J.Y. and Hentschel, L. 1992, ‘No news is good news: an asymmetric model of changing volatility in stock returns,’ Journal of Financial Economics, vol. 31, no. 3, pp. 281-318.

Chang, C.Y. 2009, ‘The volatility’s asymmetrical reaction to serial correlation: evidences from America e Taiwan cases,’ Journal of Financial Economics, vol. 28, pp. 98-103

Chiang, T.C. and Doong, S.C. 2001, ‘Empirical analysis of stock returns and volatility: evidence from seven Asian stock markets based on TAR-GARCH model,’ Review of Quarterly Financial Account, vol. 17, pp. 301-318.

Chukwuogor, C. and Feridun, M. 2007, ‘Recent emerging and developed European stock markets volatility of returns,’ European Journal of Finance, vol. 1, no. 1.

Daouk, H. 2001, ‘Two essays on the response of volatility to returns. Indiana University,’ .

Erb, C.B. Harvey, C.R. and Viskanta, T.E. 1994, ‘Forecasting international equity correlations,’ Finance Analysis Journal, vol. 50, pp. 32-45.

French, K.R. Schwert, G.W. and Stambaugh, R.F. 1987, ‘Expected stock returns and volatility,’ Journal of Finance, vol. 19, pp. 3-30.

Glosten, L. Jagannathan, R. and Runkle, D. 1993, ‘On the relation between the expected value and the volatility of the nominal excess return on stocks,’ Journal of Finance vol.68, no. 5, pp. 1779-1801

Harvey, C.R. 1995, ‘Predictable risk and returns in emerging markets,’ Review of Finance Studies, pp.773-816.

Hong, H. and Stein, J.C. 1999, ‘A unified theory of under reaction, momentum trading and overreaction in asset markets,’ Journal of Finance, vol. 54, pp. 2143-2184.

Odier, P. and Solnik, B. 1993, ‘Lessons for international asset allocation,’ Finance Analytical Journal, vol. 49, pp. 63-77

Park, J.W. 2010, ‘Co-movement of Asian stock Markets and the U.S. influence,’ Global Economic Finance Journal, vol. 3, no. 2, pp. 76-88.

Pindyck, R.S. 1984, ‘Risk, inflation, and the stock market’ American Economic Review, vol. 74, no. 3, pp. 334-351.

Romer, D. 1993, ‘Rational asset-price movements without news,’ American Economic Review, vol. 83, no. 5, pp. 1112-1130.

Schwert, W. 1989, ‘Why does stock market volatility change over time?’ Journal of Finance, vol. 44, pp. 1115-1153.

Shin, J. 2005, ‘Stock returns and volatility in emerging stock markets,’ International Journal of Business Economics, vol. 4, no. 1, pp. 31-43.

Venetis, I.A. and Peel, D. 2005, ‘Non-linearity in stock index returns: the volatility and serial correlation relationship,’ Economic Modelling, vol. 22, pp. 1-19.

Verma, R. and Verma, P. 2005, ‘Do emerging equity market respond symmetrically to US market upturns and downturns? Evidence from Latin America,’ International Journal of Business Economics, vol. 4, no. 3, pp. 193-208.

Download full paperFile format: .doc, available for editing
Contact Us