Financial globalization and stock market risk

Esqueda, Omar A.; Assefa, Tibebe A.; Mollick, André Varella

doi:10.1016/j.intfin.2011.07.006

Cited by 34 publications

(13 citation statements)

References 55 publications

(59 reference statements)

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“…where stock market volatility (y) can be measured either by the standard deviation of quarterly stock prices x , is the group of k control variables based on previous relevant literature (Mun, 2007;Umutlu et al, 2010;Esqueda et al, 2012). More specifically, in order to take into account any possible size effects the stock market capitalization deflated by GDP (referred to here after as 'Size') is constructed.The interest rate volatility measured as the standard deviation of , may result to inefficient estimates (see Beck and Katz, 1995).Therefore, the hypothesis of cross-sectional independence is tested by implementing to tests for panel-data models with small T and large N. The first one is the semi-parametric test proposed by Frees (1995), while the second one is the parametric one proposed by Pesaran (2004).…”

Section: Methodsmentioning

confidence: 99%

Does central bank independence affect stock market volatility?

Papadamou

Sidiropoulos

Spyromitros

2017

Research in International Business and Finance

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This paper addresses the issue of impacts of central banks' conservativeness/independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank conservativeness. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for this positive relationship is provided using two different measures of stock market volatility.

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Section: Methodsmentioning

confidence: 99%

Does central bank independence affect stock market volatility?

Papadamou

Sidiropoulos

Spyromitros

2017

Research in International Business and Finance

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“…They are also suitable for independent variables that are not strictly exogenous. In this study TURNOVER may be endogenous to VOLAT since higher VOLAT suggests more trading activity which will be reflected in TURNOVER (Esqueda, Assefa, & Mollick, 2012). Another advantage of using S-GMM is to handle unobservable time-invariant firm characteristics that may affect both VOLAT and FORINST (Chen, Du, Li, & Ouyang, 2013).…”

Section: Foreign Institutional Ownership Andstock Return Volatility Imentioning

confidence: 99%

Foreign Institutional Ownership Andstock Return Volatility in Indonesia

Ekaputra

2015

Jurnal Keuangan Dan Perbankan

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This paper examines the impact of foreign institutional ownership on contemporaneous stock return volatility in Indonesia. In this study, return volatility is measured as standard deviation of daily stockreturns. The dynamic panel data results based on System GMM (S-GMM) estimation, confirm that foreign institutional ownership tend to linearly and convexly increase monthly stock return volatility.The linear impact seems to be weaker for stocks with higher market capitalization, but stronger for stocks with higher turnover.Furthertest reveals that foreign financial institutional ownershiplinearly contributes to return volatility upsurge, while foreign non-financial corporation ownership convexly contribute to return volatility increase.The additional test also uncovers that domestic financial and non-financial institutionalownerships do not impact return volatility.

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“…Studies have also noted that liberalization on the regulation of a country's equity market, especially in terms of foreign investors may have a positive or negative impact on the volatility but it is very country-specific; countries that practice superior accounting standards, better laws pertaining to investor protection and repatriation of funds, and low corruption have lower volatility (Barton & Waymire,2004;Jayasuria, 2005). Similarly, an increase in financial integration reduces the volatility, (Esqueda, Assefa & Mollick, 2012).…”

Section: Relevant Literaturementioning

confidence: 99%

Investors’ Protection, Corruption and Legal Origin on the Equity Market Volatility: A Global Perspective

Rajagopalan¹,

Sundarasen²,

Rajangam³

2014

ASS

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This study explores the relationship between the roles played by institutional factors such as investors' protection, corruption and legal origin on the global equity market volatility using a panel data over a period of 5 years; 2008 -2012. Ninety-one countries were selected based on data availability from the World Bank. Generalized moving methods (GMM) is employed to identify the short and long-run effects of the abovementioned relationship. The results indicate that investors' protection and legal origin play a significant role in the equity market volatility for all countries. It is conjectured that proper investors' protection and legal execution are important for a country to have a stable equity market because this mitigates uncertainty and increases investor confidence. Further analysis on sub-groups (Emerging Markets and Developed Markets) indicate that all three variables analysed in this study, i.e., investors protection, transparency levels and legal origin have an impact on the volatility of a stock market. High transparency level coupled with low corruption level creates more confidence amongst investors in the developed countries as opposed to the emerging markets and this reduces the volatility. Taken together, the results clearly signal to the market that investors are cautious on the extent of protection given by a country, its transparency levels and the legal content and enforcement.

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Financial globalization and stock market risk

Cited by 34 publications

References 55 publications

Does central bank independence affect stock market volatility?

Does central bank independence affect stock market volatility?

Foreign Institutional Ownership Andstock Return Volatility in Indonesia

Investors’ Protection, Corruption and Legal Origin on the Equity Market Volatility: A Global Perspective

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