Title: Does world-level volatility matter for the average firm in a global equity market?
Abstract: Volatility components for an average stock in the global equity market are derived in this study. Using a variance decomposition approach, we obtain a time series of firm-level, global-industry (country) level, and world-level volatility. Each volatility components is found to be time-varying with firm-level volatility being the most important component of aggregate volatility. Our results find no evidence of any trend in firm-level volatility. Interestingly, we also discover that country factors are more important than industry factors in explaining the total variation in international stock returns.
Publication Year: 2003
Publication Date: 2003-12-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 2
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