Time-varying betas and volatility persistence in International Stock markets

Document Type

Article

Publication Title

Journal of Economics and Business

ISSN

0148-6195

Volume

46

Issue

2

DOI

10.1016/0148-6195(94)90004-3

First Page

101

Last Page

112

Publication Date

5-1-1994

Abstract

This paper investigates the degree of volatility persistence and the time-varying behavior of systemic risk (beta) for ten international stock markets. The findings suggest that small capitalization markets exhibit considerably higher volatility persistence than large capitalization markets. Market betas with respect to a value-weighted world index are time-dependent for many of the markets examined. Interestingly, markets with high volatility persistence possess higher systematic risk during periods of high world market volatility. © 1994.

Link to Full Text

Share

COinS