Modelling return and conditional volatility exposures in global stock markets

Cai, Charlie X., Faff, Robert W., Hillier, David J. and McKenzie, Michael D. (2006) Modelling return and conditional volatility exposures in global stock markets. Review of Quantitative Finance and Accounting, 27 2: 125-142. doi:10.1007/s11156-006-8793-4


Author Cai, Charlie X.
Faff, Robert W.
Hillier, David J.
McKenzie, Michael D.
Title Modelling return and conditional volatility exposures in global stock markets
Journal name Review of Quantitative Finance and Accounting   Check publisher's open access policy
ISSN 0924-865X
1573-7179
Publication date 2006-09-01
Sub-type Article (original research)
DOI 10.1007/s11156-006-8793-4
Volume 27
Issue 2
Start page 125
End page 142
Total pages 18
Place of publication New York, United States
Publisher Springer New York LLC
Language eng
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.
Keyword Conditional volatility exposures
Emerging market risk
GARCH modelling
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Mon, 07 Mar 2011, 20:45:44 EST by Karen Morgan on behalf of UQ Business School