Global Stocks and Contemporaneous Market Risk

Posted: 10 Jun 2008

See all articles by Leyuan You

Leyuan You

University of Alaska Anchorage

Chun-Hao Chang

Florida International University (FIU)

Ali Parhizgari

Florida International University

Arun J. Prakash

Florida International University (FIU) - Department of Finance; Florida International University

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

Suggested Citation

You, Leyuan and Chang, Chun-Hao and Parhizgari, Ali and Prakash, Arun Jai, Global Stocks and Contemporaneous Market Risk. International Journal of Business, Vol. 12, No. 3, 2007. Available at SSRN: https://ssrn.com/abstract=1141504

Leyuan You (Contact Author)

University of Alaska Anchorage ( email )

3211 Providence Drive
Anchorage, AK 99508
United States

Chun-Hao Chang

Florida International University (FIU) ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Ali Parhizgari

Florida International University ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Arun Jai Prakash

Florida International University (FIU) - Department of Finance ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Florida International University ( email )

Miami, FL 33199
United States

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