In the field of business research method, literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews while some questions can be raised about the quality and trustworthiness of these types of reviews. This research provides literature review, using a systematic database examine and cross-reference snowballing. In this paper, previous studies featuring a GARCH family-based model stock market return and volatility have been reviewed. The stock market plays a pivotal role in today's world economic activities and it’s called a “barometer” and “alarm” for economic and financial activities in a country or region. In order to prevent the uncertainty and risk in the stock market, it is particularly important to effectively measure the volatility of stock index returns. However, the main purpose of this review is to examine studies which especially use to analyze return and stock market volatility. The secondary purpose of this review study is to conduct the content analysis of return and volatility literature review over a period of twelve years (2008 - 2019) and in 50 different papers. The study found that there has been a significant change of research work within the past ten years and most of the researchers worked for developed stock markets.
Stock returns; Volatility; GARCH family model; Financial time series forecasting;
Cite this paper
Roni Bhowmik, Shouyang Wang. (2020) Stock Market Volatility and Return Analysis: A Systematic Literature Review. International Journal of Economics and Management Systems, 5, 217-232
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