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Modelling return and conditional volatility exposures in global stock markets

Author

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  • Charlie Cai
  • Robert Faff

    ()

  • David Hillier
  • Michael McKenzie

Abstract

This 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

Suggested Citation

  • Charlie Cai & Robert Faff & David Hillier & Michael McKenzie, 2006. "Modelling return and conditional volatility exposures in global stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 27(2), pages 125-142, September.
  • Handle: RePEc:kap:rqfnac:v:27:y:2006:i:2:p:125-142
    DOI: 10.1007/s11156-006-8793-4
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    File URL: http://hdl.handle.net/10.1007/s11156-006-8793-4
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    References listed on IDEAS

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    Cited by:

    1. Lesław Markowski, 2015. "Conditional Volatility Exposures in Asset Pricing in the Downside and Classical Framework," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
    2. Lesław Markowski, 2015. "Modelling return and conditional volatility exposures in the downside framework for new tech and media stocks on the Warsaw Stock Exchange," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 36, pages 391-402.

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