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| Author: | Kearney, C. Poti, V. |
| Title: | Have European stocks become more volatile? An empirical investigation of idiosyncratic and market risk in the Euro area |
| Journal: | European Financial Management
2008 : JUN, VOL. 14:3, p. 419-444 |
| Index terms: | financial markets stock markets securities volatility currency risk analysis investment banks European Monetary System Europe |
| Freeterms: | EMS EU |
| Language: | eng |
| Abstract: | This study explores the dynamics of idiosyncratic (hereafter as: id-sc.) risk, market risk and return correlations in European equity markets based on weekly observations from more than 3.500 stocks listed in the 12 Euro area stock markets from 1974 to 2004. Similarly to Campbell et al. (2001), there is found a rise in id-sc. volatility, implying that it now takes more stocks to diversify away id-sc. risk. However, contrary to the U.S., market risk is trended upwards in Europe and correlations are not trended downwards. Both the volatility and correlation measures are procyclical, rising during times of low market returns etc. |
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