Modelling return and conditional volatility exposures in global stock markets

This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It provides evidence that conditional stock market return volatilities have a contemporaneous association with global return volatilities. While al...

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Bibliographic Details
Published in:Review of quantitative finance and accounting 2006-09, Vol.27 (2), p.125-142
Main Authors: Cai, Charlie X, Faff, Robert W, Hillier, David J, McKenzie, Michael D
Format: Article
Language:English
Subjects:
Correlation analysis
Data analysis
Economic models
Emerging markets
Financial risks
GARCH models
International capital market
International finance
Rates of return
Securities markets
Securities trading volume
Stochastic models
Stock exchange
Stock exchanges
Stock returns
Studies
Volatility
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Summary:This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It provides evidence that conditional stock market return volatilities have a contemporaneous association with global return volatilities. While all the countries included in the study exhibited a significant and positive relationship to global volatility, emerging market volatility exposures were considerably higher than developed market exposures. [PUBLICATION ABSTRACT]
ISSN:0924-865X
1573-7179
DOI:10.1007/s11156-006-8793-4