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Modelling return and conditional volatility exposures in global stock markets |
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| Authors: | Charlie X. Cai Robert W. Faff David J. Hillier Michael D. McKenzie |
| Affiliation: | (1) Leeds University Business School, The University of Leeds, Maurice Keyworth Building, Leeds, LS2 9JT, United Kingdom;(2) Department of Accounting & Finance, Monash University, Victoria, 3800, Australia;(3) School of Economics and Finance, RMIT University, GPO Box 2746V, Melbourne, Australia, 3001 |
| 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. JEL Classification G12 |
| Keywords: | Conditional volatility exposures Emerging market risk GARCH modelling |
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