Traditional Methods to Measure Volatility: Case Study of Selective Developed and Emerging Markets

Abstract

Importance of volatility in developed as well as emerging markets can never be under estimated. Volatility is measured by traditional measures such as standard deviation. This study measures volatility and examines the relative volatility during 1997-2009. Using  global  stock  market  indexes  of  countries  categorized  as  an  emerging  and developed  capital  markets  are  utilized. All the selected stock returns shown non-normality. Emerging market indexes show more non-normality and higher kurtosis values indicate high peakedness of return distributions. Evidences  during  this  time  period  highlight that  volatility is  not  the  only phenomena of emerging capital markets. Some developed capital markets are more volatile than emerging in the selected sample.

Keywords: Volatility, standard deviation, emerging markets; International diversification.