TY - JOUR
T1 - Modelling return and conditional volatility exposures in global stock markets
AU - Cai, Charlie X.
AU - Faff, Robert W.
AU - Hillier, David J.
AU - McKenzie, Michael D.
N1 - Copyright:
Copyright 2006 Elsevier B.V., All rights reserved.
PY - 2006/9
Y1 - 2006/9
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=33745632603&partnerID=8YFLogxK
U2 - 10.1007/s11156-006-8793-4
DO - 10.1007/s11156-006-8793-4
M3 - Article
AN - SCOPUS:33745632603
SN - 0924-865X
VL - 27
SP - 125
EP - 142
JO - Review of Quantitative Finance and Accounting
JF - Review of Quantitative Finance and Accounting
IS - 2
ER -