Have World, Country and Industry Risk Changed Over Time? An Investigation of the Developed Stock Markets Volatility
Author | : Miguel A. Ferreira |
Publisher | : |
Total Pages | : 42 |
Release | : 2004 |
ISBN-10 | : OCLC:1290351201 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Have World, Country and Industry Risk Changed Over Time? An Investigation of the Developed Stock Markets Volatility written by Miguel A. Ferreira and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a volatility decomposition method to study the time series behavior of equity volatility at the world, country and local industry levels. Between 1974 and 2001 there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s, there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.