Modelling return and conditional volatility exposures in global stock markets

Charlie Cai; Robert Faff; David Hillier; Michael McKenzie

doi:10.1007/s11156-006-8793-4

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Publisher: Kluwer Academic Publishers
Copyright: Copyright © 2006 by Springer Science + Business Media, LLC
Subject: Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN: 0924-865X
eISSN: 1573-7179
D.O.I.: 10.1007/s11156-006-8793-4
Publisher site: See Article on Publisher Site

Abstract

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.

Journal

Review of Quantitative Finance and Accounting – Springer Journals

Published: Jan 1, 2006

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Modelling return and conditional volatility exposures in global stock markets

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Modelling return and conditional volatility exposures in global stock markets

Modelling return and conditional volatility exposures in global stock markets

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