Frontier Market Volatilities in 2017


Developed Stock Market Volatilities Are At Multi-Year Lows

With a lot of the political risk and potential market catalysts out of the way, the main story has instead turned to how quiet the market has become – too quiet for most. Developed stock market volatilities have collapsed and the VIX even dipped below 10 earlier in the month. This has made many investors quite nervous about when the shoe will eventually drop.

Frontier Markets Have Been Quiet.. With Some Exceptions

When we looked at market volatilities in 2016, the 76 markets and indices we looked at worldwide averaged 14.3% in 1M volatility, 14.7% in 6M volatility, and 15.6% in 1Y volatility. These realized vols have dropped about 3 vols since then to 11.4% in 1M, 11.9% in 6M, and 12.7% in 1Y. The fall in stock market volatility has impacted frontier markets, but there are still markets experiencing record levels of volatility over the past year.

Stock Markets Ranked By Volatilities:

The 10 Most Volatile Stock Markets In The World in 2017

We are almost halfway through the year, so we sorted the markets by their 6 month realized volatility as a middle ground between the 1M and 1Y. Here are the most volatile stock markets so far this year:

Venezuela continues to be in crisis mode, and while the stock market is technically up a massive amount this year, the currency has lost more than enough value to compensate. Out of the top 10 most volatile markets this year, 9 are frontier markets with China the lone exception.

The 10 Least Volatile Stock Markets In The World In 2017

Frontier markets make up every one of the 10 least volatile markets so far this year, so it’s a wide range for frontier markets in general. Trinidad & Tobago and Botswana’s realized volatilities are incredibly low for equities, rivaling that of many managed FX currencies.

The Full List of Stock Market Volatilities

Here is the full list of realized volatilities as of the end of May 2017:

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