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Topic · Economics and Econometrics

Market Dynamics and Volatility

Market Dynamics and Volatility is a research topic within Economics and Econometrics. Science Explorer counts 49k research works in it since 1950. 10.0% of them reached the world's top 10% most cited for their field and year.

This cluster of papers focuses on the impact of oil price shocks on the global economy, including the stock market, volatility spillovers, commodity markets, and the macroeconomic effects of economic policy uncertainty. It explores the role of financialization, speculation, and monetary policy in shaping the response to oil price fluctuations.

  • Oil Price Shocks
  • Economic Policy Uncertainty
  • Stock Market
  • Volatility Spillovers
  • Commodity Markets
  • Macroeconomic Effects
  • Financialization
  • Speculation
  • Global Economy
  • Monetary Policy
Research works
49k
fractional, since 1950
In the world top 10%
5k
per year above
Top-10% rate
10.0%
share of its works in the world top 10%
Growth, 2018-21 → 2022-25
+31%
the tick is no change
Largest producer
China
34% of the 10 largest, 2022-now
Market Dynamics and Volatility

Which countries lead Market Dynamics and Volatility research?

By volume, China and the United States publish the most (3k and 1.5k works in 2022-now).

By volume, 2022-now

  1. 1 China 3k works
  2. 2 United States 1.5k works
  3. 3 India 1.2k works
  4. 4 Türkiye 991 works
  5. 5 United Kingdom 631 works
  6. 6 Indonesia 351 works
  7. 7 Italy 308 works
  8. 8 France 303 works
  9. 9 Germany 297 works
  10. 10 Australia 293 works

How concentrated that is

The same countries as shares of everything the list above accounts for. A node where two countries do two thirds of the work and one spread evenly across twelve read alike as a ranking and not at all alike here.

China: 34.1%United States: 16.7%India: 13.3%Türkiye: 11.2%6 others listed: 24.7%34%largest
China3,013 · 34.1%United States1,474 · 16.7%India1,172 · 13.3%Türkiye991 · 11.2%6 others listed2,183 · 24.7%

Shares of the rows listed above, not of the whole node.

Which institutions lead Market Dynamics and Volatility research?

By volume in 2022-now, University of Sfax publishes the most Market Dynamics and Volatility research, followed by Southwestern University of Finance and Economics and Bucharest University of Economic Studies.

By volume, 2022-now

  1. 1 University of SfaxTunisia 58 works
  2. 2 Southwestern University of Finance and EconomicsChina 57 works
  3. 3 Bucharest University of Economic StudiesRomania 56 works
  4. 4 Southwest Jiaotong UniversityChina 55 works
  5. 5 Central University of Finance and EconomicsChina 51 works
  6. 6 Xiamen UniversityChina 49 works
  7. 7 Lebanese American UniversityLebanon 46 works
  8. 8 Renmin University of ChinaChina 46 works
  9. 9 Chinese Academy of SciencesChina 45 works
  10. 10 Centre National de la Recherche ScientifiqueFrance 45 works

Who are the leading researchers in Market Dynamics and Volatility?

The most-cited researchers publishing on Market Dynamics and Volatility include Eugene F. Fama, Andrei Shleifer and Kai You Wang.

  1. 1 Eugene F. Fama United States 262k citations
  2. 2 Andrei Shleifer United States 234k citations
  3. 3 Kai You Wang China 224k citations
  4. 4 Michael C. Jensen United States 203k citations
  5. 5 Harry Eugene Stanley United States 198k citations
  6. 6 Sanjay Basu United States 193k citations
  7. 7 Joseph E. Stiglitz United States 167k citations
  8. 8 Daron Acemoğlu United States 164k citations

Ranked by citations received across their whole record, among researchers with at least three works on this topic.

What are the most cited papers in Market Dynamics and Volatility?

The most cited paper in Market Dynamics and Volatility is "Generalized autoregressive conditional heteroskedasticity" (Tim Bollerslev, 1986), with 22,677 citations. Next come "Statistical analysis of cointegration vectors" (16,966) and "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks" (8,790).

Most cited papers
#PaperReleasedCitations
1 Generalized autoregressive conditional heteroskedasticity Tim Bollerslev · Journal of Econometrics Open access Apr 1986 22,677
2 Statistical analysis of cointegration vectors Søren Johansen · Journal of Economic Dynamics and Control Jun 1988 16,966
3 On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks Lawrence R. Glosten, Ravi Jagannathan, David Edward Runkle · The Journal of Finance Dec 1993 8,790
4 Does the Stock Market Overreact? Werner F. M. De Bondt, Richard H. Thaler · The Journal of Finance Jul 1985 7,335
5 Dynamic Conditional Correlation Robert F. Engle · Journal of Business and Economic Statistics Jul 2002 7,250
All 98 most cited papers, with filters and sorting

Where is Market Dynamics and Volatility research done?

The largest centres of Market Dynamics and Volatility research in 2022-now are Beijing (China), Shanghai (China), Istanbul (Türkiye) and Nanjing (China).

Largest cities, 2022-now

  1. 1 BeijingChina 537 works
  2. 2 ShanghaiChina 227 works
  3. 3 IstanbulTürkiye 205 works
  4. 4 NanjingChina 195 works
  5. 5 LondonUnited Kingdom 185 works
  6. 6 ChengduChina 182 works
  7. 7 MoscowRussia 147 works
  8. 8 WuhanChina 147 works
  9. 9 GuangzhouChina 130 works
  10. 10 ChangshaChina 129 works
See Market Dynamics and Volatility on the map

Where is the best place to study Market Dynamics and Volatility?

Among universities, judged by research, Lebanese American University, North Carolina State University and Qingdao University score highest, combining excellence, specialisation, size, growth and international reach. Research strength is one signal when choosing where to study; it does not measure teaching.

0%50%100%mean 30.99%fractional works in this field (log) →share of work in the world top 10% →North Carolina State…Qingdao UniversityLebanese American Un…Central South Univer…
above the meannear itbelow it

One dot per university in the first ten of the table below, at the default weights. The upper left is the interesting corner: small places doing unusually strong work.

Excellenceshare of its work in the world top 10%, 2022-now and all time averaged
40%
Specialisationhow much of its work is in this field, counted up to 10× the world share
10%
Sizeits output in this field, on a log scale
30%
Growthoutput growth, counted from -20% to +20%
10%
Internationalshare of its work with a co-author abroad
10%
Each slider sets a weight; the share it gets of the score is beside it.
#UniversityScoreTop 10%SpecialisationWorksGrowth
1Lebanese American UniversityLebanon 84.442.2%33.1×46 +448.7%
2North Carolina State UniversityUnited States 70.777.7%2.6×18 +241.9%
3Qingdao UniversityChina 70.145.3%3.9×33 +134.9%
4Central South UniversityChina 66.035.8%1.7×42 +87.1%
5Imam Mohammad ibn Saud Islamic UniversitySaudi Arabia 65.223.6%12.7×30 +263.2%
6Southwest Jiaotong UniversityChina 64.118.1%5.6×54 +156.2%
7University of Economics Ho Chi Minh CityVietnam 63.720.6%42.4×41 +37.6%
8Southwestern University of Finance and EconomicsChina 63.114.6%31.9×57 +67.9%
9University of SfaxTunisia 62.310.3%18.4×58 +85.8%
10University of Business and TechnologySaudi Arabia 61.921.7%22.2×26 +64.9%

Universities only. The score blends excellence (40%), size (30%), specialisation (10%), growth (10%), international reach (10%), 2022-now; growth compares 2018-21 with 2022-25 and counts up to +20%, since a jump from a small base is mostly noise.

Every institution in Market Dynamics and Volatility, country by country

Is Market Dynamics and Volatility research growing?

Output in 2022-2025 was 31% higher than in 2018-2021, peaking in 2023. The fastest-growing topics are Market Dynamics and Volatility.

still counting19801990200020102020
grewheldshrank

The same series as a ribbon: one cell per year, darker for more. The line above answers how much; this answers when.

Its share of all research

Growing output can still be a shrinking share: all of science grows. This is Market Dynamics and Volatility as a percentage of every work published that year, 0.064% in 2024.

still counting0.025%0.050%0.075%Market Dynamics and Volatility0.054% in 202519801990200020102020

Fractional works of Market Dynamics and Volatility over all fractional works that year. How the balance of science has shifted.

How much of it reaches the world top 10%

Year by year.

still counting5%10%15%Market Dynamics and Volatility10.5% in 2025200020102020

Of each year's works in it, the share that reached the world's 10% most cited for their field and year. A field is the world for its own topics, so there is no other line to hold it against.

Which topics inside it are moving

Growth and decline on one axis around a shared zero. Two lists side by side hide the thing that matters: whether the growth dwarfs the decline, or the other way round.

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