Access the full text.
Sign up today, get DeepDyve free for 14 days.
References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.
Using returns of 4,916 stocks from 22 developed countries and 15 developing countries, this study examines the relative magnitude of conditional volatility and the international market systematic risk of stock prices in countries at different developmental stages and in various geographical areas. Consistent with the finding of Bekaert et al. (2008), the results of non-parametric Mann-Whitney tests suggest that the stock prices in emerging markets are riskier than the ones in developed countries, measured by both conditional volatility and global beta. Our empirical findings also support the geographical variation in stock risks. Specifically, the equity values in Southeast Asia, South Europe, and Latin America are more volatile than the rest of the world. Similar results can be found in the country-level tests. The time-series analysis suggests that the stock returns in high risk countries tend to be less volatile but the conditional volatility of stock return in less risky countries leans to increase.
Review of Pacific Basin Financial Markets and Policies – World Scientific Publishing Company
Published: Jun 1, 2009
Keywords: Conditional volatility international market systematic risk GARCH Mann-Whitney test JEL Classification: C12 JEL Classification: F36 JEL Classification: G15
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.