Variation in Stock Return Risks: An International Comparison

Wan-Jiun Paul Chiou (), Alice C. Lee () and Cheng-Few Lee ()
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Wan-Jiun Paul Chiou: Shippensburg University, Shippensburg, PA 17257, USA
Alice C. Lee: State Street, Boston, MA 02111, USA
Cheng-Few Lee: Rutgers University, Piscataway, NJ 08854, USA;
Authors registered in the RePEc Author Service: Cheng Few Lee

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2009, vol. 12, issue 02, 245-266

Abstract: Using returns of 4,916 stocks from 22 developed countries and 15 developing countries, this study examines the relative magnitude of conditional volatility and the international market systematic risk of stock prices in countries at different developmental stages and in various geographical areas. Consistent with the finding of Bekaertet al.(2008), the results of non-parametric Mann-Whitney tests suggest that the stock prices in emerging markets are riskier than the ones in developed countries, measured by both conditional volatility and global beta. Our empirical findings also support the geographical variation in stock risks. Specifically, the equity values in Southeast Asia, South Europe, and Latin America are more volatile than the rest of the world. Similar results can be found in the country-level tests. The time-series analysis suggests that the stock returns in high risk countries tend to be less volatile but the conditional volatility of stock return in less risky countries leans to increase.

Keywords: Conditional volatility; international market systematic risk; GARCH; Mann-Whitney test; JEL Classification: C12; JEL Classification: F36; JEL Classification: G15 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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DOI: 10.1142/S0219091509001666

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