Please use this identifier to cite or link to this item: https://doi.org/10.1016/S1042-444X(03)00015-X
Title: Does world-level volatility matter for the average firm in a global equity market?
Authors: Sequeira, J.M. 
Lan, D.
Keywords: Country effect
Industry effect
Variance decomposition
Issue Date: 2003
Source: Sequeira, J.M.,Lan, D. (2003). Does world-level volatility matter for the average firm in a global equity market?. Journal of Multinational Financial Management 13 (4-5) : 341-357. ScholarBank@NUS Repository. https://doi.org/10.1016/S1042-444X(03)00015-X
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. © 2003 Elsevier Science B.V. All rights reserved.
Source Title: Journal of Multinational Financial Management
URI: http://scholarbank.nus.edu.sg/handle/10635/44501
ISSN: 1042444X
DOI: 10.1016/S1042-444X(03)00015-X
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