Does World-Level Volatility matter for the Average Firm in a Global Equity Market?
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.
Variance decomposition, Country effect, Industry effect
Finance | Finance and Financial Management
Journal of Multinational Financial Management
SEQUEIRA, J. M. and DONG, Lan.
Does World-Level Volatility matter for the Average Firm in a Global Equity Market?. (2003). Journal of Multinational Financial Management. 13, (4-5), 341-357. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/5035
This document is currently not available here.