Market volatility across countries – evidence from international markets
Purpose - The purpose of this paper is to investigate the time-varying risk return relationship and the persistence of shocks to volatility within GARCH framework both in developed and emerging markets. Design/methodology/approach - This paper uses nonlinear ARCH and GARCH-family models for testing the volatility both in developed and emerging markets. Findings - The findings of the paper suggest that there is a long-term persistence shock in emerging markets compared to developed markets. Research limitations/implications - The data set used for the developed and emerging markets is not consistent in terms of sample period. However, this paper explores the venues for further research on the global diversification. Practical implications - The implication of volatility measurement is vital in determining the cost of capital for investment and portfolio management, option pricing and for market regulations. Originality/value - The unique features of the paper include large sample size with updated data set that reveals the nature of world economy and empirical evidence on volatility testing that reports the risk return characteristics of both developed and emerging markets.
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Volume (Year): 26 (2009)
Issue (Month): 4 (December)
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