Modelling Return and Volatility Exposures in Global Stock Markets

University of Strathclyde Accounting & Finance Working Paper

32 Pages Posted: 5 Mar 2002

See all articles by Robert W. Faff

Robert W. Faff

University of Queensland

Michael D. McKenzie

The University of Sydney - Discipline of Finance; University of Cambridge - Cambridge Endowment for Research in Finance (CERF); Financial Research Network (FIRN)

David Hillier

University of Strathclyde - Department of Accounting and Finance

Date Written: October 2001

Abstract

This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It extends the results found in the "volatility spillover" literature by providing evidence that conditional stock market return volatilities have a contemporaneous and systematic exposure to global return volatilities. Whereas all the countries included in the study exhibited significant and positive systematic exposures to global volatility, emerging market volatility exposures were considerably higher than developed market exposures.

Keywords: Volatility Exposures, Volatility Spillovers, Risk Management, Asymmetric GARCH

JEL Classification: G10, G12, G14

Suggested Citation

Faff, Robert W. and McKenzie, Michael David and Hillier, David, Modelling Return and Volatility Exposures in Global Stock Markets (October 2001). University of Strathclyde Accounting & Finance Working Paper. Available at SSRN: https://ssrn.com/abstract=302678 or http://dx.doi.org/10.2139/ssrn.302678

Robert W. Faff

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Michael David McKenzie

The University of Sydney - Discipline of Finance ( email )

Level 2 9 Castlereagh Street
Sydney, NSW 2000
Australia
+61 2 9114 0578 (Phone)
+61 2 9351 6461 (Fax)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

David Hillier (Contact Author)

University of Strathclyde - Department of Accounting and Finance ( email )

Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom
44 0141 330 4809 (Phone)
44 0141 330 4442 (Fax)

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