Stock Market Volatility: A Bibliometric Review of Research Trends

Abstract

Introduction: Stock market volatility plays a vital role in financial markets and economic stability, drawing considerable academic attention over the past two decades. However, a comprehensive review of the literature examining the landscape of stock market volatility research has been lacking.
Objective: This study aims to fill that gap by conducting a systematic bibliometric analysis to identify key authors, journals, documents, contributing countries, and collaborative networks, while mapping thematic trends in stock market volatility research.
Method: The analysis employs VOS Viewer and the Bibliometrix R-package to examine 1,418 articles published between 2005 and 2022, retrieved from the Scopus database. The study utilizes keyword co-occurrence analysis and bibliographic coupling to map research themes and collaborative networks.
Results: Findings reveal a significant rise in research output after 2015, with a notable surge during the COVID-19 pandemic. The top 10 most-cited papers amassed over 4,700 citations, with crisis-related studies demonstrating substantial influence. Key contributors include Gupta R., Ma F., and Zhang Y., while the USA, China, and the UK emerge as the leading publishing countries. Four main research streams are identified: volatility measurement and forecasting, crisis and contagion effects, macroeconomic influences, and spillover effects across markets. "Realized volatility" and "GARCH" emerge as dominant themes driving the field.
Conclusions: This study offers a foundational overview of stock market volatility research, supporting scholars in identifying trends and research gaps, and providing practitioners with a structured understanding of the domain's evolution.