The Long Memory of Equity Volatility: International Evidence

44 Pages Posted: 22 Nov 2017

See all articles by Duc Binh Benno Nguyen

Duc Binh Benno Nguyen

Leibniz Universität Hannover - Faculty of Economics and Management

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management; University of Reading - ICMA Centre

Philipp Sibbertsen

University of Hannover

Date Written: November 20, 2017

Abstract

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a country measured by jumps. The relationships hold both in the time-series and the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and frontier countries.

Keywords: International, Long Memory, Volatility

JEL Classification: G15, C22, F30, F40

Suggested Citation

Nguyen, Duc Binh Benno and Prokopczuk, Marcel and Sibbertsen, Philipp, The Long Memory of Equity Volatility: International Evidence (November 20, 2017). Available at SSRN: https://ssrn.com/abstract=3074551 or http://dx.doi.org/10.2139/ssrn.3074551

Duc Binh Benno Nguyen (Contact Author)

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Philipp Sibbertsen

University of Hannover ( email )

Welfengarten 1
D-30167 Hannover, 30167
Germany

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