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Interdependence of international equity market volatility

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  • Patricia Chelley-Steeley

Abstract

This paper investigates whether equity market volatility in one major market is related to volatility elsewhere. This paper models the daily conditional volatility of equity market wide returns as a GARCH-(1,1) process. Such a model will capture the changing nature of the conditional variance through time. It is found that the correlation between the conditional variances of major equity markets has increased substantially over the last two decades. This supports work which has been undertaken on conditional mean returns which indicates there has been an increase in equity market integration.

Suggested Citation

  • Patricia Chelley-Steeley, 2000. "Interdependence of international equity market volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 341-345.
  • Handle: RePEc:taf:apeclt:v:7:y:2000:i:5:p:341-345
    DOI: 10.1080/135048500351500
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    Cited by:

    1. Chuang, I-Yuan & Lu, Jin-Ray & Tswei, Keshin, 2007. "Interdependence of international equity variances: Evidence from East Asian markets," Emerging Markets Review, Elsevier, vol. 8(4), pages 311-327, December.
    2. Vo, Xuan Vinh & Ellis, Craig, 2018. "International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 19-27.

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