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.
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Cai, C.X., Faff, R.W., Hillier, D.J. et al. Modelling return and conditional volatility exposures in global stock markets. Rev Quant Finan Acc 27, 125–142 (2006). https://doi.org/10.1007/s11156-006-8793-4
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DOI: https://doi.org/10.1007/s11156-006-8793-4