Does World-Level Volatility matter for the Average Firm in a Global Equity Market?

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 f...

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Bibliographic Details
Main Authors: SEQUEIRA, J. M., DONG, Lan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5035
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Institution: Singapore Management University
Language: English

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