Saurin Pandya

This research analyzes the various characteristics of emerging stock exchanges by comparing them with those of more matured and developed markets. Consistent to previous studies, higher volatility was found in emerging stock exchange. The EGARCH (Exponential Generalized Auto Regressive Conditional Heteroskedastic) model used to analyze the market return time series, supports the significant kurtosis (leptokurtic) and skewness in the time series. Evidence was found out of higher predictability in more matured market than that of emerging markets, which contradict few of the previous studies. It was also found out that shock persists for lesser time in emerging stock exchanges than in more matured markets. This work also analyzes the effect of non trading days on market returns, and finds out that Non-trading days have lesser effect on volatility in matured markets than that of emerging stock exchanges. An effort has been also made to find out various volatility and innovative shock transfer mechanism and pattern among these national markets. Though the results found out from VAR (Vector Auto Regression) analysis is not very successful, it clearly shows that that innovations (shocks) in the U.S. stock exchange are rapidly transmitted to the rest of world, although the innovations in other national markets do not have much effect on the U.S. market, which is consistent with previous studies.