Economics, Econometrics and Finance
5 years ago

Dynamic relationship between domestic and world markets increases stock returns volatility.

IOP Conference Series Earth and Environmental Science
The effect of dynamic relationship between domestic market and world market on stock returns volatility
Najmudin Najmudin, Retno Kurniasih, Sulistyandari Sulistyandari, Dian Purnomo Jati

Paper Summary

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The study looked at how the relationship between local and global markets affects stock returns volatility. They used a GARCH model to analyze this relationship and found that it has a positive impact on stock returns volatility. This was true both overall and during the global financial crisis.