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RECENT EMERGING AND DEVELOPED EUROPEAN STOCK MARKETS VOLATILITY OF RETURNS

Chiaku Chukwuogor

Eastern Connecticut State University, USA.

Mete Feridun

Loughborough University, UK.

ABSTRACT

This paper examines the volatility of returns in fifteen emerging and developed European stock markets. A set of parametric and non-parametric tests is used to test the equality of mean returns and standard deviations of the returns. Results suggest that there was generally high volatility of returns in the markets during the period 1997-2004 and that there were some surprises in terms of volatility and loss of value in the case of some developed European stock markets. The emerging markets in general had higher returns and higher volatilities, particularly Russia and Turkey. Even though the markets of Russia, Turkey and Spain showed the highest standard deviations, the markets that displayed the highest coefficients of variation are those of Austria, Belgium, Czech Republic, Denmark,

France, Germany, Italy, Switzerland and Turkey. The results of the Levene’s (1960) could not reject the Null Hypothesis that mean returns are equal across the days of the week for all the markets except for Italy.

Key words: returns, volatility, standard deviation, emerging, developed

JEL Classification code: G14, G15