Stock market volatility in emerging markets: Past trends and relation to economic growth

Abstract

This report intends to introduce the reader to basic concepts of stock market volatility and also throw light on the importance of volatility, in terms of the impact it has on short-term investment decisions of investors and changes in risk premia of market makers. More specifically, this report tries to show the relationship between economic growth and stock market volatility, in the context of an emerging market. We also look at individual macroeconomic variables, and try to provide evidence as to how much each variable affects stock market volatility. This report has been divided into a number of modules, each one dealing with a different aspect of volatility; yet endeavouring to give a holistic picture through the report.