Global Stocks and Contemporaneous Market Risk

Abstract

This paper provides a comprehensive set of contemporaneous estimates of the market risk for globally listed stocks on 59 world equity markets. The results reveal that the estimates of the systematic risk of a stock are distinct from market to market, and from the stock's corresponding estimate of its global beta. The limitations of these estimates and, in particular, the constraints under which they are computed are pointed out. The results also indicate the need to first refine upon the single-market country estimate of the beta in the original capital asset pricing model (CAPM) before extending and or analyzing such estimates in determining the corresponding global beta.

Keywords: Global beta; Market risk; International equity markets

JEL Classification: G15