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Review of Quantitative Finance and Accounting

, Volume 27, Issue 2, pp 125–142 | Cite as

Modelling return and conditional volatility exposures in global stock markets

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

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.

Keywords

Conditional volatility exposures Emerging market risk GARCH modelling 

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Copyright information

© Springer Science + Business Media, LLC 2006

Authors and Affiliations

  • Charlie X. Cai
    • 1
  • Robert W. Faff
    • 1
    • 2
  • David J. Hillier
    • 1
  • Michael D. McKenzie
    • 3
  1. 1.Leeds University Business SchoolThe University of LeedsLeedsUnited Kingdom
  2. 2.Department of Accounting & FinanceMonash UniversityVictoriaAustralia
  3. 3.School of Economics and FinanceRMIT UniversityMelbourneAustralia

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