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| Tekijä: | Chiang, T. Chiang, J. |
| Otsikko: | Dynamic analysis of stock return volatility in an integrated international capital market |
| Lehti: | Review of Quantitative Finance and Accounting
1995 : JAN, VOL. 6:1, p. 5-17 |
| Asiasana: | STOCK RETURNS FINANCIAL MARKETS RISK |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the dynamic behavior of the stock return volatility for Canada, Japan, Germany, and the United Kingdom. The evidence indicates that international stock return volatility is mainly influenced by the U. S. stock return volatility and the exchange rate volatility, supporting the international capital market integration hypothesis. There seems to be some correlation between stock return volatility and macroeconomic volatility and macroeconomic volatility, but the effect is relatively weaker. |
SCIMA