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Volatility and Links between National Stock Markets
Abstract
The authors attempt to account for the covariances between stock markets and to assess their integration. They estimate a factor model for sixteen national stock market returns whose volatility is induced by changing volatility in the factors. Unanticipated returns depend on innovations in economic variables and 'unobservable' factors. Assets risk premia are linear combinations of the factors risk premia. The authors find that idiosyncratic risk is priced and the 'price of risk' is different across stock markets. Besides, only a small proportion of their covariances can be accounted for by 'observable' economic variables. Correlation changes are driven primarily by movements in 'unobservables.' Copyright 1994 by The Econometric Society.
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Citations
Cited by
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Lewbel, A. (2012) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2012.643126 · Cited by 2,712
Arellano, M. (2003) · doi:10.1093/0199245282.001.0001 · Cited by 2,108
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Identification Through Heteroskedasticity
Rigobon, R. (2003) · Review of Economics and Statistics · doi:10.1162/003465303772815727 · Cited by 912
ANTÓN, M., & POLK, C. (2014) · The Journal of Finance · doi:10.1111/jofi.12149 · Cited by 367
Metadata
- Authors
- King, M., Sentana, E., & Wadhwani, S.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1994-07
- Volume
- 62
- Issue
- 4
- Pages
- 901
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W4242129407
- Cited by
- 678
- References
- 0
- FWCI
- 27.59
- Type
- journal article
- Language
- en
- Open access
- closed
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- King, M., Sentana, E., & Wadhwani, S. (1994). Volatility and Links between National Stock Markets. Econometrica. https://doi.org/10.2307/2951737
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
