Modelling return and conditional volatility exposures in global stock markets

Charlie Cai, Robert William Faff, David Hillier and Michael McKenzie

Review of Quantitative Finance and Accounting, 2006, vol. 27, issue 2, pages 125-142

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. Copyright Springer Science + Business Media, LLC 2006

Keywords: Conditional volatility exposures; Emerging market risk; GARCH modelling (search for similar items in EconPapers)
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:kap:rqfnac:v:27:y:2006:i:2:p:125-142

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