Title

Does World-Level Volatility matter for the Average Firm in a Global Equity Market?

Publication Type

Journal Article

Publication Date

12-2003

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.

Keywords

Variance decomposition, Country effect, Industry effect

Discipline

Finance | Finance and Financial Management

Research Areas

Finance

Publication

Journal of Multinational Financial Management

Volume

13

Issue

4-5

First Page

341

Last Page

357

ISSN

1042-444X

Identifier

10.1016/S1042-444X(03)00015-X

Publisher

Elsevier

Additional URL

http://dx.doi.org/10.1016/S1042-444X(03)00015-X

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