Stock Market Volatility and Return Analysis: A Systematic Literature Review
文献类型：期刊论文
| 作者 | Bhowmik, Roni2,3; Wang, Shouyang1 |
| 刊名 | ENTROPY
 |
| 出版日期 | 2020-05-01 |
| 卷号 | 22期号:5页码:18 |
| 关键词 | stock returns volatility GARCH family model complexity in market volatility forecasting |
| DOI | 10.3390/e22050522 |
| 英文摘要 | 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. |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000541900700070 |
| 出版者 | MDPI |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51684]  |
| 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.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Daffodil Int Univ, Dept Business Adm, Dhaka 1207, Bangladesh 3.Jiujiang Univ, Sch Econ & Management, Jiujiang 322227, 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。