The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility.
Authors
Barkha Dhingra, Department of Commerce, Maharshi Dayanand University, Rohtak, India.
Shallu Batra, Department of Commerce, Maharshi Dayanand University, Rohtak, India.
Vaibhav Aggarwal, Jindal Global Business School, O.P. Jindal Global University, Sonipat, Haryana, India.
Mahender Yadav, Department of Commerce, Maharshi Dayanand University, Rohtak, India.
Pankaj Kumar, Department of Management Studies, Deenbandhu Chhotu Ram University of Science and Technology, Sonipat, India.
Summary
The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility.
Methodology
This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area.
Findings
The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area.
Originality
This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.
Published in: Journal of Modelling in Management
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