{"id":"https://openalex.org/W2555848577","doi":"https://doi.org/10.3846/20294913.2016.1213204","title":"EMPIRICAL ANALYSIS OF STOCK RETURNS AND VOLATILITY: EVIDENCE FROM ASIAN STOCK MARKETS","display_name":"EMPIRICAL ANALYSIS OF STOCK RETURNS AND VOLATILITY: EVIDENCE FROM ASIAN STOCK MARKETS","publication_year":2016,"publication_date":"2016-11-23","ids":{"openalex":"https://openalex.org/W2555848577","doi":"https://doi.org/10.3846/20294913.2016.1213204","mag":"2555848577"},"language":"en","primary_location":{"id":"doi:10.3846/20294913.2016.1213204","doi":"https://doi.org/10.3846/20294913.2016.1213204","is_oa":true,"landing_page_url":"https://doi.org/10.3846/20294913.2016.1213204","pdf_url":"https://journals.vgtu.lt/index.php/TEDE/article/download/785/580","source":{"id":"https://openalex.org/S115091506","display_name":"Technological and Economic Development of Economy","issn_l":"1392-8619","issn":["1392-8619","1822-3613","2029-4913","2029-4921"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["anvur-scientific","cwts-core","doaj","erih-plus","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310317518","host_organization_name":"Vilnius Gediminas Technical University","host_organization_lineage":["https://openalex.org/P4310317518"],"host_organization_lineage_names":["Vilnius Gediminas Technical University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Technological and Economic Development of Economy","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://journals.vgtu.lt/index.php/TEDE/article/download/785/580","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5000609836","display_name":"Nawaz Ahmad","orcid":"https://orcid.org/0000-0002-6029-7868","observed_orcids":["https://orcid.org/0000-0002-6029-7868","https://orcid.org/0000-0002-6871-8540"]},"institutions":[{"id":"https://openalex.org/I188771183","display_name":"Iqra University","ror":"https://ror.org/00thhhw55","country_code":"PK","type":"education","lineage":["https://openalex.org/I188771183"]},{"id":"https://openalex.org/I3130537802","display_name":"Iqra National University","ror":"https://ror.org/0254sa076","country_code":"PK","type":"education","lineage":["https://openalex.org/I3130537802"]}],"countries":["PK"],"is_corresponding":false,"raw_author_name":"Nawaz AHMAD","raw_affiliation_strings":["Iqra University","Department of Business Administration, Iqra University, Defence View, Shaheed-e-Millat Road (Ext.), Karachi-75500, Pakistan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Iqra University","institution_ids":["https://openalex.org/I188771183","https://openalex.org/I3130537802"]},{"raw_affiliation_string":"Department of Business Administration, Iqra University, Defence View, Shaheed-e-Millat Road (Ext.), Karachi-75500, Pakistan","institution_ids":["https://openalex.org/I188771183"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5060378868","display_name":"Rizwan Raheem Ahmed","orcid":"https://orcid.org/0000-0001-5844-5502","observed_orcids":["https://orcid.org/0000-0001-5844-5502"]},"institutions":[{"id":"https://openalex.org/I4210093622","display_name":"Indus University","ror":"https://ror.org/00hqpmg61","country_code":"PK","type":"education","lineage":["https://openalex.org/I4210093622"]},{"id":"https://openalex.org/I70764227","display_name":"Indus University","ror":"https://ror.org/03ehk1n67","country_code":"IN","type":"education","lineage":["https://openalex.org/I70764227"]}],"countries":["IN","PK"],"is_corresponding":false,"raw_author_name":"Rizwan RAHEEM AHMED","raw_affiliation_strings":["Indus University","Department of Business Administration, Indus University, Block-17, Gulshan, Karachi-75500, Pakistan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Indus University","institution_ids":["https://openalex.org/I4210093622","https://openalex.org/I70764227"]},{"raw_affiliation_string":"Department of Business Administration, Indus University, Block-17, Gulshan, Karachi-75500, Pakistan","institution_ids":["https://openalex.org/I4210093622"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5071215246","display_name":"Jolita Vveinhardt","orcid":"https://orcid.org/0000-0001-6231-9402","observed_orcids":["https://orcid.org/0000-0001-6231-9402"]},"institutions":[{"id":"https://openalex.org/I139173083","display_name":"Lithuanian Sports University","ror":"https://ror.org/00hxk7s55","country_code":"LT","type":"education","lineage":["https://openalex.org/I139173083"]}],"countries":["LT"],"is_corresponding":false,"raw_author_name":"Jolita VVEINHARDT","raw_affiliation_strings":["Lithuanian Sports University","Institute of Sport Science and Innovations, Lithuanian Sports University, Sporto g. 6, LT-44221 Kaunas, Lithuania"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Lithuanian Sports University","institution_ids":["https://openalex.org/I139173083"]},{"raw_affiliation_string":"Institute of Sport Science and Innovations, Lithuanian Sports University, Sporto g. 6, LT-44221 Kaunas, Lithuania","institution_ids":["https://openalex.org/I139173083"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5018006101","display_name":"Dalia \u0160treimikien\u0117","orcid":"https://orcid.org/0000-0002-3247-9912","observed_orcids":["https://orcid.org/0000-0002-3247-9912"]},"institutions":[{"id":"https://openalex.org/I139173083","display_name":"Lithuanian Sports University","ror":"https://ror.org/00hxk7s55","country_code":"LT","type":"education","lineage":["https://openalex.org/I139173083"]}],"countries":["LT"],"is_corresponding":false,"raw_author_name":"Dalia STREIMIKIENE","raw_affiliation_strings":["Lithuanian Sports University","Institute of Sport Science and Innovations, Lithuanian Sports University, Sporto g. 6, LT-44221 Kaunas, Lithuania"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Lithuanian Sports University","institution_ids":["https://openalex.org/I139173083"]},{"raw_affiliation_string":"Institute of Sport Science and Innovations, Lithuanian Sports University, Sporto g. 6, LT-44221 Kaunas, Lithuania","institution_ids":["https://openalex.org/I139173083"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":675,"currency":"EUR","value_usd":727},"apc_paid":{"value":675,"currency":"EUR","value_usd":727},"fwci":1.5293,"has_fulltext":true,"cited_by_count":27,"citation_normalized_percentile":{"value":0.86570482,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"22","issue":"6","first_page":"808","last_page":"829"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.000699999975040555,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.9070000052452087},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.9810000061988831},{"id":"https://openalex.org/keywords/asian-stock-markets","display_name":"Asian stock markets","score":0.9179999828338623},{"id":"https://openalex.org/keywords/bse-sensex","display_name":"BSE Sensex","score":0.9779999852180481},{"id":"https://openalex.org/keywords/nikkei-225","display_name":"Nikkei 225","score":0.9509999752044678},{"id":"https://openalex.org/keywords/hang-seng","display_name":"Hang Seng","score":0.9210000038146973},{"id":"https://openalex.org/keywords/shanghai-stock-exchange","display_name":"Shanghai Stock Exchange","score":0.9900000095367432},{"id":"https://openalex.org/keywords/kospi","display_name":"KOSPI","score":0.9890000224113464},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.640999972820282},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.718999981880188},{"id":"https://openalex.org/keywords/bartlett-test","display_name":"Bartlett test","score":0.6579999923706055},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"heteroscedasticity","score":0.7649999856948853}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6212061643600464},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.617951512336731},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6146379709243774},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5793116092681885},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.5504504442214966},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5336670875549316},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5168367028236389},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4742676019668579},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4342152774333954},{"id":"https://openalex.org/C22679943","wikidata":"https://www.wikidata.org/wiki/Q159375","display_name":"Standard deviation","level":2,"score":0.4266495704650879},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.413160115480423},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2617984116077423},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.23090723156929016},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.13429421186447144},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09746226668357849},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3846/20294913.2016.1213204","doi":"https://doi.org/10.3846/20294913.2016.1213204","is_oa":true,"landing_page_url":"https://doi.org/10.3846/20294913.2016.1213204","pdf_url":"https://journals.vgtu.lt/index.php/TEDE/article/download/785/580","source":{"id":"https://openalex.org/S115091506","display_name":"Technological and Economic Development of Economy","issn_l":"1392-8619","issn":["1392-8619","1822-3613","2029-4913","2029-4921"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["anvur-scientific","cwts-core","doaj","erih-plus","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310317518","host_organization_name":"Vilnius Gediminas Technical University","host_organization_lineage":["https://openalex.org/P4310317518"],"host_organization_lineage_names":["Vilnius Gediminas Technical University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Technological and Economic Development of Economy","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:ebbb2ea298ed4acb9d83798b173456c0","doi":null,"is_oa":true,"landing_page_url":"https://doaj.org/article/ebbb2ea298ed4acb9d83798b173456c0","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Technological and Economic Development of Economy, Vol 22, Iss 6 (2016)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.3846/20294913.2016.1213204","doi":"https://doi.org/10.3846/20294913.2016.1213204","is_oa":true,"landing_page_url":"https://doi.org/10.3846/20294913.2016.1213204","pdf_url":"https://journals.vgtu.lt/index.php/TEDE/article/download/785/580","source":{"id":"https://openalex.org/S115091506","display_name":"Technological and Economic Development of Economy","issn_l":"1392-8619","issn":["1392-8619","1822-3613","2029-4913","2029-4921"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["anvur-scientific","cwts-core","doaj","erih-plus","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310317518","host_organization_name":"Vilnius Gediminas Technical University","host_organization_lineage":["https://openalex.org/P4310317518"],"host_organization_lineage_names":["Vilnius Gediminas Technical University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Technological and Economic Development of Economy","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2555848577.pdf","grobid_xml":"https://content.openalex.org/works/W2555848577.grobid-xml"},"referenced_works_count":62,"referenced_works":["https://openalex.org/W105097415","https://openalex.org/W612522678","https://openalex.org/W982383590","https://openalex.org/W1532409097","https://openalex.org/W1547481061","https://openalex.org/W1548055622","https://openalex.org/W1556289036","https://openalex.org/W1589371149","https://openalex.org/W1591691429","https://openalex.org/W1802754774","https://openalex.org/W1966268097","https://openalex.org/W1967461850","https://openalex.org/W1979575715","https://openalex.org/W1986240342","https://openalex.org/W1987726427","https://openalex.org/W1999996900","https://openalex.org/W2004127855","https://openalex.org/W2028622780","https://openalex.org/W2039774260","https://openalex.org/W2044050128","https://openalex.org/W2051992491","https://openalex.org/W2054477007","https://openalex.org/W2057607158","https://openalex.org/W2058517657","https://openalex.org/W2061817351","https://openalex.org/W2072483747","https://openalex.org/W2085289178","https://openalex.org/W2088992973","https://openalex.org/W2090637028","https://openalex.org/W2091141667","https://openalex.org/W2096577923","https://openalex.org/W2109601837","https://openalex.org/W2115724285","https://openalex.org/W2116399596","https://openalex.org/W2116402578","https://openalex.org/W2118391173","https://openalex.org/W2118523969","https://openalex.org/W2122016003","https://openalex.org/W2124733492","https://openalex.org/W2125657278","https://openalex.org/W2126764429","https://openalex.org/W2128846462","https://openalex.org/W2134278817","https://openalex.org/W2144063316","https://openalex.org/W2144487825","https://openalex.org/W2147758913","https://openalex.org/W2153155589","https://openalex.org/W2170859022","https://openalex.org/W2606362422","https://openalex.org/W2747531703","https://openalex.org/W3021380675","https://openalex.org/W3097316749","https://openalex.org/W3121391630","https://openalex.org/W3121451334","https://openalex.org/W3123226880","https://openalex.org/W3123289511","https://openalex.org/W3123990411","https://openalex.org/W3125412410","https://openalex.org/W3126003731","https://openalex.org/W4225423413","https://openalex.org/W4255655703","https://openalex.org/W4388114226"],"related_works":["https://openalex.org/W3123500770","https://openalex.org/W1528226820","https://openalex.org/W7062607604","https://openalex.org/W7220306608","https://openalex.org/W7098994995","https://openalex.org/W2232067579","https://openalex.org/W2597197808","https://openalex.org/W4406290645","https://openalex.org/W4409846998","https://openalex.org/W2939024520"],"abstract_inverted_index":{"The":[0,75,88,129,159],"objective":[1],"of":[2,14,64,78,85,113,119,140,157,163,188,203],"this":[3,28],"research":[4],"isto":[5],"measure":[6],"and":[7,16,24,53,94,117,126,142,225,229,241,256],"examine":[8],"volatilities":[9],"among":[10,98],"important":[11],"stock":[12,25,86,100],"markets":[13,31,101],"Asia":[15],"to":[17,72,198,251],"ascertain":[18],"a":[19,221],"causal":[20],"relation":[21],"between":[22],"volatility":[23,161,186,204],"returns.":[26],"For":[27],"purpose":[29],"six":[30],"KSE100":[32,254],"(Karachi,":[33],"Pakistan),":[34],"BSE":[35,145],"Sensex":[36],"(Mumbai,":[37],"India),":[38],"NIKKEI":[39],"225":[40],"(Tokyo,":[41],"Japan),":[42],"Hang":[43,169],"Seng":[44,170],"(Hong":[45,171],"Kong),":[46],"Shanghai":[47,257],"Stock":[48,60,258],"Exchange":[49,259],"(SSE)":[50],"(Shanghai,":[51],"China)":[52],"KOSPI":[54,133],"(Seoul,":[55],"South":[56],"Korea)":[57],"were":[58],"considered.":[59],"market":[61,210],"indices":[62],"comprise":[63],"daily":[65],"data":[66],"from":[67,249],"the":[68,82,91,99,109,135,152,180,184,195,201,206],"period":[69],"January":[70],"2002":[71],"December":[73],"2009.":[74],"graphical":[76],"representation":[77],"time":[79,104],"series":[80],"shows":[81,90],"preliminary":[83,107],"examination":[84],"behaviors.":[87],"analysis":[89,108,197],"high":[92],"correlation":[93],"heteroskedastic":[95],"trend":[96],"(volatility)":[97],"in":[102,168,176,208],"selected":[103],"period.":[105],"After":[106],"formal":[110],"descriptive":[111],"method":[112],"mean,":[114],"standard":[115],"deviation":[116],"coefficient":[118,162,187],"variation":[120],"have":[121],"been":[122,166],"applied":[123,193,218],"for":[124,194,253],"measuring":[125],"ranking":[127],"purposes.":[128],"results":[130],"show":[131],"that":[132],"has":[134,151,165],"highest":[136,160],"average":[137,155],"annual":[138,154],"return":[139],"12.67%":[141],"followed":[143,173],"by":[144,174],"with":[146],"11.61%,":[147],"whereas,":[148],"KSE":[149,181],"100":[150,182],"least":[153],"returns":[156,233],"9.31%.":[158],"3.097":[164],"observed":[167,183],"Kong)":[172],"2.87":[175],"Nikkei":[177],"(Tokyo).":[178],"However,":[179],"lowest":[185],"2.078.":[189],"Bartlett\u2019s":[190],"test":[191],"is":[192,205,217],"inferential":[196],"investigate":[199],"whether":[200],"equality":[202],"same":[207],"each":[209],"return.":[211],"Finally,":[212],"GARCH":[213,226],"(1,":[214],"1)":[215],"model":[216],"which":[219],"concludes":[220],"significant":[222,236],"ARCH":[223],"(1)":[224,227],"effects":[228],"confirms":[230],"all":[231],"markets\u2019":[232],"are":[234],"statistically":[235],"since":[237],"p":[238],"<":[239],"0.01":[240],"their":[242],"Long":[243],"Run":[244],"Average":[245],"Variances":[246],"(LRAV)":[247],"range":[248],"1.52%":[250],"2.54%":[252],"Index":[255],"respectively.":[260]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":7},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-11-30T00:00:00"}
