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Determinants of Stock Price Volatility: A Literature Review

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dc.contributor.author Hewamana, R.
dc.contributor.author Siriwardhane, D.
dc.contributor.author Rathnayake, A.
dc.date.accessioned 2023-04-04T04:44:30Z
dc.date.available 2023-04-04T04:44:30Z
dc.date.issued 2022
dc.identifier.citation Hewamana, R., Siriwardhane, D. & Rathnayake, A. (2022). Determinants of Stock Price Volatility: A Literature Review. SOUTH ASIAN JOURNAL OF FINANCE, VOL. 2, No. 1, 28 – 55, 2022. en_US
dc.identifier.uri http://dr.lib.sjp.ac.lk/handle/123456789/12689
dc.description.abstract Purpose: This paper reviews the theoretical background and the empirical results of the stock price volatility determinants under three categories: macroeconomic, company-specific fundamentals, and behavioral factors. Methodology: Previous empirical and theoretical articles on volatility determinants were compared to identify the similarities and differences of the findings. The systematic literature review followed to review the articles published in English between 1930 and 2021. Design: A critical literature review was performed by comparing the findings of previous studies based on the development status of the market. We discuss determinants of stock price volatility. Determinants include behavioral (non-fundamental) factors and macro-economic factors such as GDP, Inflation, Interest Rate, Money Supply, and Exchange Rate. In addition to Earnings and Dividend Payments have been considered under company-specific fundamentals. Findings: It was found that there is no agreement between the studies on the macro-level and micro- level determinants of stock volatility. This empirical inconsistency is substantial in GDP, Inflation, Money Supply, Exchange Rate, Earnings, and Dividend Payments. The interest rate is the only determinant that shows moderate inconclusive empirical results. However, behavioral determinants appear to be significance consistency in determining the stock price volatility. Originality: This article reviews the theoretical and empirical background of stock volatility determinants since there is no single article for reviewing theoretical and empirical results. In a single paper, we provide evidence relating to the impact of macroeconomic, company-specific, and behavioral factors on stock price volatility. Research Directions – Future research is needed to examine the reason for empirical inconsistency in volatility determinants. A systematic literature review is essential. en_US
dc.language.iso en en_US
dc.publisher SOUTH ASIAN JOURNAL OF FINANCE en_US
dc.subject Stock Volatility, Macroeconomic, Volatility Determinants, Company Fundamentals en_US
dc.title Determinants of Stock Price Volatility: A Literature Review en_US
dc.type Article en_US
dc.identifier.doi https://sajf.sljol.info/ en_US


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