Publication:
Financial Globalization and Market Volatility: An Empirical Appraisal

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dc.contributor.authorCordella, Tito
dc.contributor.authorOspino Rojas, Anderson
dc.date.accessioned2017-06-21T16:47:02Z
dc.date.available2017-06-21T16:47:02Z
dc.date.issued2017-06
dc.description.abstractThis 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.en
dc.identifierhttp://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal
dc.identifier.doi10.1596/1813-9450-8091
dc.identifier.urihttps://hdl.handle.net/10986/27291
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 8091
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo
dc.subjectGLOBALIZATION
dc.subjectSTOCK MARKET VOLATILITY
dc.subjectEMERGING MARKETS
dc.subjectFRONTIER MARKETS
dc.titleFinancial Globalization and Market Volatilityen
dc.title.subtitleAn Empirical Appraisalen
dc.typeWorking Paperen
dc.typeDocument de travailfr
dc.typeDocumento de trabajoes
dspace.entity.typePublication
okr.crossref.titleFinancial Globalization and Market Volatility: An Empirical Appraisal
okr.dataset.urlhttps://datacatalog.worldbank.org/node/98945
okr.date.disclosure2017-06-07
okr.doctypePublications & Research
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://documents.worldbank.org/curated/en/720931496861776485/Financial-globalization-and-market-volatility-an-empirical-appraisal
okr.guid720931496861776485
okr.identifier.doi10.1596/1813-9450-8091
okr.identifier.externaldocumentum090224b084c5a3d7_2_0
okr.identifier.internaldocumentum27560518
okr.identifier.reportWPS8091
okr.importedtrue
okr.language.supporteden
okr.pdfurlhttp://documents.worldbank.org/curated/en/720931496861776485/pdf/WPS8091.pdfen
okr.statistics.combined4354
okr.statistics.dr720931496861776485
okr.statistics.drstats3677
okr.topicFinance and Financial Sector Development::Capital Markets and Capital Flows
okr.topicFinance and Financial Sector Development::International Financial Markets
okr.topicFinance and Financial Sector Development::Securities Markets Policy & Regulation
okr.topicInternational Economics and Trade::Globalization and Financial Integration
okr.topicMacroeconomics and Economic Growth::Economic Conditions and Volatility
okr.unitOperations and Strategy Team, Development Economics Vice Presidency
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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