Journal of Financial and Quantitative Analysis Vol. 40 No. 1 2005
Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets
Abstract
This paper uses a volatility decomposition method to study the time-series behavior of equity volatility at the world, country, and local industry levels. Between 1974 and 2001, there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.
- DOI
- 10.1017/s0022109000001794
- Volume
- 40
- Issue
- 1
- Pages
- 195-222
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref