Financial Globalization and Market Volatility : An Empirical Appraisal
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 adjus...
| Main Authors: | , |
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| Format: | Working Paper |
| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2017
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal http://hdl.handle.net/10986/27291 |
| Summary: | 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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