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Financial globalization and stock market risk

Listed author(s):
  • Esqueda, Omar A.
  • Assefa, Tibebe A.
  • Mollick, André Varella

This paper examines stock market volatility measured by either “beta-volatility” or by the standard deviation of stock returns over 1995–2007. In our dynamic panel data framework, after controlling for size, turnover, and real output growth, we find some support to increases in financial integration reducing total stock return volatility for representative emerging markets, with almost no impact for industrial economies. Allowing for feedback effects from stock volatility to stock turnover, we obtain a richer interpretation for the broadening of investor basis hypothesis: more integrated financial markets leads to lower stock volatility, yet these are not so strong as found previously and are not accompanied by more turnover.

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File URL: http://www.sciencedirect.com/science/article/pii/S1042443111000473
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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 22 (2012)
Issue (Month): 1 ()
Pages: 87-102

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Handle: RePEc:eee:intfin:v:22:y:2012:i:1:p:87-102
DOI: 10.1016/j.intfin.2011.07.006
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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