Modelling return and conditional volatility exposures in global stock markets

Charlie X. Cai, Robert W. Faff*, David J. Hillier, Michael D. McKenzie

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)125-142
Number of pages18
JournalReview of Quantitative Finance and Accounting
Issue number2
Publication statusPublished - Sept 2006
Externally publishedYes


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