Financial Globalization and Market Volatility : An Empirical Appraisal

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...

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Main Authors: Cordella, Tito, Ospino Rojas, Anderson
Format: Working Paper
Language:English
en_US
Published: World Bank, Washington, DC 2017
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
http://hdl.handle.net/10986/27291
id okr-10986-27291
recordtype oai_dc
spelling okr-10986-272912021-06-14T10:12:23Z 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 http://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal http://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 World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
en_US
topic GLOBALIZATION
STOCK MARKET VOLATILITY
EMERGING MARKETS
FRONTIER MARKETS
spellingShingle GLOBALIZATION
STOCK MARKET VOLATILITY
EMERGING MARKETS
FRONTIER MARKETS
Cordella, Tito
Ospino Rojas, Anderson
Financial Globalization and Market Volatility : An Empirical Appraisal
relation Policy Research Working Paper;No. 8091
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
author Cordella, Tito
Ospino Rojas, Anderson
author_facet Cordella, Tito
Ospino Rojas, Anderson
author_sort Cordella, Tito
title Financial Globalization and Market Volatility : An Empirical Appraisal
title_short Financial Globalization and Market Volatility : An Empirical Appraisal
title_full Financial Globalization and Market Volatility : An Empirical Appraisal
title_fullStr Financial Globalization and Market Volatility : An Empirical Appraisal
title_full_unstemmed Financial Globalization and Market Volatility : An Empirical Appraisal
title_sort financial globalization and market volatility : an empirical appraisal
publisher World Bank, Washington, DC
publishDate 2017
url http://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal
http://hdl.handle.net/10986/27291
_version_ 1764464123038400512

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