Stock market volatility in the euro area countries with highest government debt

The main objective of this paper is to investigate and evaluate development of stock market volatility in the euro area countries with highest public debt. Seven countries with the highest public debt to gross domestic product ratio in 2014 are analysed: Greece, Italy, Portugal, Cyprus, Ireland, Belgium, and Spain. First, we will take notice of the development of the selected stock markets both before and during the debt crisis. Subsequently, a comparison of returns and volatility will be made. Both returns and risks of stock market indexes will be analysed, as well as trends of volatility development among particular countries. The comparison of stock market volatility in examined period from 2003:12 to 2016:09 has confirmed divergence in volatility development trends in analysed euro area countries with highest public debt after end of the year 2009.