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J. Risk Financial Manag. 2018, 11(2), 22; https://doi.org/10.3390/jrfm11020022

Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution

Faculty of Engineering and Technology, Department of Computer Science and Telecommunication Engineering, Noakhali Science and Technology University, Noakhali 3814, Bangladesh
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Received: 2 April 2018 / Revised: 20 April 2018 / Accepted: 26 April 2018 / Published: 28 April 2018
(This article belongs to the Special Issue Stock Market Volatility Modelling and Forecasting)
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Abstract

In this work, the financial data of 377 stocks of Standard & Poor’s 500 Index (S&P 500) from the years 1998–2012 with a 250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal distribution and frequency distribution for both daily stock returns and volatility. We also determined the beta-coefficient and correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index and stock’s prices and correlation among stock’s prices increased remarkably and decreased during the non-crisis period. We compared the stock volatility and stock returns for specific time periods i.e., non-crisis, before crisis and during crisis year in detail and found that the distribution behaviors of stock return prices has a better long-term effect that allows predictions of near-future market behavior than realized volatility of stock returns. Our detailed statistical analysis provides a valuable guideline for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods. View Full-Text
Keywords: volatility; stock return; correlation; beta-coefficient; financial stability volatility; stock return; correlation; beta-coefficient; financial stability
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
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Akter, N.; Nobi, A. Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution. J. Risk Financial Manag. 2018, 11, 22.

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