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.
Original language | English |
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Pages (from-to) | 125-142 |
Number of pages | 18 |
Journal | Review of Quantitative Finance and Accounting |
Volume | 27 |
Issue number | 2 |
DOIs | |
Publication status | Published - Sept 2006 |
Keywords
- Conditional volatility exposures
- Emerging market risk
- GARCH modelling