Modelling return and conditional volatility exposures in global stock markets

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

doi:10.1007/s11156-006-8793-4

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 journal › Article › Research › peer-review

5 Citations (Scopus)

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.

Original language	English
Pages (from-to)	125-142
Number of pages	18
Journal	Review of Quantitative Finance and Accounting
Volume	27
Issue number	2
DOIs	https://doi.org/10.1007/s11156-006-8793-4
Publication status	Published - Sept 2006
Externally published	Yes

Access to Document

10.1007/s11156-006-8793-4

https://rdcu.be/cAkH1Licence: Other

Cite this

@article{f68b6a57a7914f6baabdcf244497c48a,

title = "Modelling return and conditional volatility exposures in global stock markets",

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.",

author = "Cai, {Charlie X.} and Faff, {Robert W.} and Hillier, {David J.} and McKenzie, {Michael D.}",

year = "2006",

month = sep,

doi = "10.1007/s11156-006-8793-4",

language = "English",

volume = "27",

pages = "125--142",

journal = "Review of Quantitative Finance and Accounting",

issn = "0924-865X",

publisher = "Springer",

number = "2",

}

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.

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 -

Modelling return and conditional volatility exposures in global stock markets

Abstract

Access to Document

Other files and links

Fingerprint

Cite this