To read this content please select one of the options below:

Review on volatility and return analysis including emerging developments: evidence from stock market empirics

Sachin Kashyap (Mittal School of Business, Lovely Professional University, Phagwara, India)

Journal of Modelling in Management

ISSN: 1746-5664

Article publication date: 27 April 2022

Issue publication date: 28 April 2023

447

Abstract

Purpose

This paper aims to analyze and give directions for advancing research in stock market volatility highlighting its features, structural breaks and emerging developments. This study offers a platform to research the benchmark studies to know the research gap and give directions for extending future research.

Design/methodology/approach

The author has performed the literature review, and, reference checking as per the snowballing approach. Firstly, the author has started with outlining and simplifying the significance of the subject area, the review illustrating the various elements along with the research gaps and emphasizing the finding.

Findings

This work summarizes the studies covering the volatility, its properties and structural breaks on various aspects such as techniques applied, subareas and the markets. From the review’s analysis, no study has clarified the supremacy of any model because of the different market conditions, nature of data and methodological aspects. The outcome of this research work has delivered further magnitude to research the benchmark studies for the upcoming work on stock market volatility. This paper has also proposed the hybrid volatility models combining artificial intelligence with econometric techniques to detect noise, sudden changes and chaotic information easily.

Research limitations/implications

The author has taken the research papers from the scholarly journal published in the English language only and the author may also consider other nonscholarly or other language journals.

Originality/value

To the best of the author’s knowledge, this research work highlights an updated and more comprehensive framework examining the properties and demonstrating the contemporary developments in the field of stock market volatility.

Keywords

Citation

Kashyap, S. (2023), "Review on volatility and return analysis including emerging developments: evidence from stock market empirics", Journal of Modelling in Management, Vol. 18 No. 3, pp. 756-816. https://doi.org/10.1108/JM2-10-2021-0249

Publisher

:

Emerald Publishing Limited

Copyright © 2022, Emerald Publishing Limited

Related articles