Dynamic Analysis of Stock Return Volatility in an Integrated International Capital Market

Thomas Chiang () and Jeannette Jin Chiang

Review of Quantitative Finance and Accounting, 1996, vol. 6, issue 1, 5-17

Abstract: This paper examines the dynamic behavior of the stock return volatility for Canada, Japan, Germany, and the United Kingdom. The evidence indicates that international stock return volatility is mainly influenced by the U.S. stock return volatility and the exchange rate volatility, supporting the international capital market integration hypothesis. There seems to be some correlation between stock return volatility and macroeconomic volatility, but the effect is relatively weaker. In addition to the economic fundamentals, the noise component is found to be time varying, confirming the AR(MA)CH specifications in the stock return models. Copyright 1996 by Kluwer Academic Publishers

Date: 1996
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