Modelling return and conditional volatility exposures in global stock markets

被引：2
|
作者：
Cai C.X. [1 ]
Faff R.W. [1 ,2 ]
Hillier D.J. [1 ]
McKenzie M.D. [3 ]
机构：
[1] Leeds University Business School, Maurice Keyworth Building, University of Leeds, Leeds
[2] Department of Accounting and Finance, Monash University
[3] School of Economics and Finance, RMIT University, Melbourne, 3001
来源：
Review of Quantitative Finance and Accounting | 2006年 / 27卷 / 2期
关键词：
Conditional volatility exposures; Emerging market risk; GARCH modelling;
D O I：
10.1007/s11156-006-8793-4
中图分类号：
学科分类号：
摘要：
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. © Springer Science + Business Media, LLC 2006.
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页码：125 / 142
页数：17
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