search query: @author Harvey, C. R. / total: 9
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| Author: | Bekaert, G. Harvey, C. R. |
| Title: | Emerging equity volatility |
| Journal: | Journal of Financial Economics
1997 : JAN, VOL. 43:1, p. 29-77 |
| Index terms: | MARKETS VOLATILITY CAPITAL MARKETS |
| Language: | eng |
| Abstract: | For determining the cost of capital and for evaluating direct investment and asset allocation decisions understanding volatility in emerging capital markets is important. This paper provides an approach that allows the relative importance of the local and world information to change through time in both the expected returns and conditional variance processes. The reasons that volatility is different across emerging markets are analyzed by time-series and cross-sectional models. The capital market liberalizations often increase the correlation between local market returns and the world market but don't drive up local market volatility. |
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