Modelling return and conditional volatility exposures in global stock markets

Charlie X. Cai; Robert W. Faff; David J. Hillier; Michael D. McKenzie

doi:10.1007/s11156-006-8793-4

Modelling return and conditional volatility exposures in global stock markets

Charlie X. Cai, Robert W. Faff^*, David J. Hillier, Michael D. McKenzie

^*Corresponding author for this work

Macquarie Graduate School of Management

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

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
Pages (from-to)	125-142
Number of pages	18
Journal	Review of Quantitative Finance and Accounting
Volume	27
Issue number	2
DOIs	https://doi.org/10.1007/s11156-006-8793-4
Publication status	Published - Sept 2006

Keywords

Conditional volatility exposures
Emerging market risk
GARCH modelling

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10.1007/s11156-006-8793-4

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title = "Modelling return and conditional volatility exposures in global stock markets",

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.",

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AB - 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.

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Modelling return and conditional volatility exposures in global stock markets

Abstract

Keywords

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