Modelling return and conditional volatility exposures in global stock markets
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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.
KeywordsConditional volatility exposures Emerging market risk GARCH modelling
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