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Common Volatility in International Equity Markets

Robert Engle and Raul Susmel

Journal of Business & Economic Statistics, 1993, vol. 11, issue 2, 167-76

Abstract: In this article, the authors take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. They use a test recently developed by R. F. Engle and S. Kozicki (1990). This test is also used to assess the validity of a one-factor autoregress ive conditional heteroskedasticity model. The authors find that some international stock markets have the same time-varying volatility.

Date: 1993
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Handle: RePEc:bes:jnlbes:v:11:y:1993:i:2:p:167-76