Unraveling two decades of volatility in financial markets: insights and emerging themes

Abstract

Purpose This study aims to examine the intricate landscape of volatility in financial markets. It aims to identify major research constituents and prevailing themes through science mapping and performance analysis. This study also empirically analyses the volatility of five major macro-financial variables, namely, the S&P 500, Crude Oil, Interest Rate, Gold and Bitcoin, over a decade. Design/methodology/approach This study conducted bibliometric and thematic analyses of the metadata of 1,958 articles on volatility in financial markets published from 2003 to 2025. Findings This study identified six major themes in the field of volatility research: stock market volatility, economic policy uncertainty, macroeconomic volatility, common volatility or spillovers, COVID-19-induced volatility and crude oil volatility. Notably, the field is not just growing, but thriving, with the number of publications increasing exponentially. Rangan Gupta, Elie Bouri and Walid Mensi are among the top contributing authors. China, India and the USA are leading the way in contributing to the field of volatility in financial markets. Research limitations/implications The findings carry significant practical implications for various stakeholders. Investors can harness the econometric techniques outlined in this study to gain a deeper understanding of markets. Regulatory bodies and governments can develop robust frameworks and market infrastructure, enhancing economic stability and averting major crisis-like events. Originality/value This study provides a comprehensive examination of volatility as an inherent feature of financial markets over a broader time horizon. It also identified major themes emerging in the volatility domain.