Modelling return and conditional volatility exposures in global stock markets
AbstractThis 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
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 27 (2006)
Issue (Month): 2 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Conditional volatility exposures; Emerging market risk; GARCH modelling;
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