Financial Globalization and Market Volatility
This paper computes a new financial globalization index for a large sample of countries for 1992-2016. Unlike other measures, the financial globalization index corrects for the heteroscedasticity of global volatility. This leads to a downward adjustment of financial globalization trends for developed, emerging, and frontier markets. The paper also shows that financial globalization reduces market volatility (measured by the volatility of stock returns) in tranquil times, and increases it in turbulent ones. On average, the first effect dominates, so that financial globalization leads to a decrease in market volatility, which is more pronounced in frontier markets.
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| Format: | Working Paper biblioteca |
| Language: | English en_US |
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World Bank, Washington, DC
2017-06
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| Subjects: | GLOBALIZATION, STOCK MARKET VOLATILITY, EMERGING MARKETS, FRONTIER MARKETS, |
| Online Access: | http://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal https://hdl.handle.net/10986/27291 |
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dig-okr-10986272912024-12-18T05:20:35Z Financial Globalization and Market Volatility An Empirical Appraisal Cordella, Tito Ospino Rojas, Anderson GLOBALIZATION STOCK MARKET VOLATILITY EMERGING MARKETS FRONTIER MARKETS This paper computes a new financial globalization index for a large sample of countries for 1992-2016. Unlike other measures, the financial globalization index corrects for the heteroscedasticity of global volatility. This leads to a downward adjustment of financial globalization trends for developed, emerging, and frontier markets. The paper also shows that financial globalization reduces market volatility (measured by the volatility of stock returns) in tranquil times, and increases it in turbulent ones. On average, the first effect dominates, so that financial globalization leads to a decrease in market volatility, which is more pronounced in frontier markets. 2017-06-21T16:47:02Z 2017-06-21T16:47:02Z 2017-06 Working Paper Document de travail Documento de trabajo http://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal https://hdl.handle.net/10986/27291 English en_US Policy Research Working Paper;No. 8091 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank application/pdf text/plain World Bank, Washington, DC |
| institution |
Banco Mundial |
| collection |
DSpace |
| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
English en_US |
| topic |
GLOBALIZATION STOCK MARKET VOLATILITY EMERGING MARKETS FRONTIER MARKETS GLOBALIZATION STOCK MARKET VOLATILITY EMERGING MARKETS FRONTIER MARKETS |
| spellingShingle |
GLOBALIZATION STOCK MARKET VOLATILITY EMERGING MARKETS FRONTIER MARKETS GLOBALIZATION STOCK MARKET VOLATILITY EMERGING MARKETS FRONTIER MARKETS Cordella, Tito Ospino Rojas, Anderson Financial Globalization and Market Volatility |
| description |
This paper computes a new financial
globalization index for a large sample of countries for
1992-2016. Unlike other measures, the financial
globalization index corrects for the heteroscedasticity of
global volatility. This leads to a downward adjustment of
financial globalization trends for developed, emerging, and
frontier markets. The paper also shows that financial
globalization reduces market volatility (measured by the
volatility of stock returns) in tranquil times, and
increases it in turbulent ones. On average, the first effect
dominates, so that financial globalization leads to a
decrease in market volatility, which is more pronounced in
frontier markets. |
| format |
Working Paper |
| topic_facet |
GLOBALIZATION STOCK MARKET VOLATILITY EMERGING MARKETS FRONTIER MARKETS |
| author |
Cordella, Tito Ospino Rojas, Anderson |
| author_facet |
Cordella, Tito Ospino Rojas, Anderson |
| author_sort |
Cordella, Tito |
| title |
Financial Globalization and Market Volatility |
| title_short |
Financial Globalization and Market Volatility |
| title_full |
Financial Globalization and Market Volatility |
| title_fullStr |
Financial Globalization and Market Volatility |
| title_full_unstemmed |
Financial Globalization and Market Volatility |
| title_sort |
financial globalization and market volatility |
| publisher |
World Bank, Washington, DC |
| publishDate |
2017-06 |
| url |
http://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal https://hdl.handle.net/10986/27291 |
| work_keys_str_mv |
AT cordellatito financialglobalizationandmarketvolatility AT ospinorojasanderson financialglobalizationandmarketvolatility AT cordellatito anempiricalappraisal AT ospinorojasanderson anempiricalappraisal |
| _version_ |
1819034570491691008 |