Asymmetric Volatility and Leverage Effect in Stock Market: A Bibliometric Review

Abstract

This paper aims to provide quantitative statistics and a comprehensive review of the key ináuential and intellectual structure of asymmetric volatility and leverage e§ect in the stock market. This study reviews 271 articles and review papers published in scientiÖc journals indexed by the Scopus database from 1994 to 2021. VOSviewer and Excel software are used to analyse the collected data and apply the bibliometric tests such as citation analysis of documents, source, authors, institutions and countries, Co-occurrence analysis of author keywords, co-authorship and Bibliographic coupling of authors, source and countries. By analysing the growth in this topic, during the Örst 10 years, the publication in this topic was considerably less. After that, until 2020, the growth is remarkable. Further, the study identiÖes the most ináuential and impactful authors, journals, institutions, and countries to asymmetric volatility and leverage e§ect in the stock market. To the best of the authorís knowledge, this is one of the Örst papers to address the literature of asymmetric volatility and leverage e§ect in the stock market from a bibliometric aspect. It helps researchers and other academicians to explore and build a quantitative base regarding the scientiÖc development of asymmetric volatility and leverage e§ect in the stock market.