Date of Award

2020

Document Type

Thesis

Degree Name

Bachelors

Department

Social Sciences

First Advisor

Yu, Sherry

Area of Concentration

Economics

Abstract

This thesis estimates, examines and compares the persistence values of volatility in both developed and emerging markets and tests the efficient market hypothesis. We use a generalized autoregressive conditional heteroskedasticity model (GARCH) to examine volatility persistence in stock market indices, specifically the Bombay Stock Exchange Sensex (BSESN), Brazilian BOVESPA (BVSP), U.S. S&P 500 (SP500), and the German Deutscher Aktienindex (DAX). In addition to volatility persistence modeling, this thesis also uses descriptive financial analysis to analyze the structural differences in conditional variance and standardized residuals between emerging and developing markets. We find that volatility persistence is significantly higher in the emerging market indices of BVSP and BSESN than in their established counterparts DAX and S&P 500. Additionally, volatility decay appears to be more hyperbolic in emerging markets.

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