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 |