Interdependence of international equity market volatility

Patricia L. Chelley-Steeley

Research output: Contribution to journalArticle

Abstract

This paper investigates whether equity market volatility in one major market is related to volatility elsewhere. This paper models the daily conditional volatility of equity market wide returns as a GARCH-(1,1) process. Such a model will capture the changing nature of the conditional variance through time. It is found that the correlation between the conditional variances of major equity markets has increased substantially over the last two decades. This supports work which has been undertaken on conditional mean returns which indicates there has been an increase in equity market integration.
Original languageEnglish
Pages (from-to)341-345
Number of pages5
JournalApplied Economics Letters
Volume7
Issue number5
DOIs
Publication statusPublished - May 2000

Keywords

  • equity market volatility
  • market
  • daily conditional volatility
  • equity market
  • conditional variances
  • conditional mean returns
  • equity market integration

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