<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been analyzed extensively in literature. We look into volatility issue from the standpoint of extreme-day changes. Our analysis indicates the non-normality of German stock market and higher probability of negative trading days. We measure the occurrences of extreme-day returns and their significance in measuring annual volatility. Our time series analysis indicates that the occurrences of extreme-days show a cyclical trend over the sample time period. Our comparison of negative and positive extreme-days indicates that negative extreme-days overweigh the positive extreme days. Standard deviation, as measure of volatility used traditionally, gives altered ranks of annual volatility to a considerable extent as compared to extreme-day returns. Lastly, existence of extreme day returns can be explained by past period occurrences, which show predictability. </p></abstract>

This study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been analyzed extensively in literature. We look into volatility issue from the standpoint of extreme-day changes. Our analysis indicates the non-normality of German stock market and higher probability of negative trading days. We measure the occurrences of extreme-day returns and their significance in measuring annual volatility. Our time series analysis indicates that the occurrences of extreme-days show a cyclical trend over the sample time period. Our comparison of negative and positive extreme-days indicates that negative extreme-days overweigh the positive extreme days. Standard deviation, as measure of volatility used traditionally, gives altered ranks of annual volatility to a considerable extent as compared to extreme-day returns. Lastly, existence of extreme day returns can be explained by past period occurrences, which show predictability.

Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany

Economics and Business

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany"}

This study examines the stock market volatility of German bench-mark stock index DAX 30 using logarithmic extreme day return. German stock markets have been...

Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany

Data publikacji: 05 lip 2018

Zakres stron: 126 - 135

DOI: https://doi.org/10.2478/eb-2018-0010

© 2018 Naeem Ahmed and Mudassira Sarfraz, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.