|
|
Article: Why does stock market volatility differ across countries? Evidence from thirty seven international markets.(Report)
- Article from:
- International Journal of Business
- Article date:
- January 1, 2004
- Author:
CopyrightCOPYRIGHT 2004 Premier Publishing, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
|
ABSTRACT
There are substantial differences in stock market volatility across countries. This paper asks why market volatility differs across countries. Using Datastream Country Indexes covering thirty seven international markets, this paper finds that the education level of investors plays a significant role in explaining cross-country market volatility differences. In addition, there is some evidence indicating that market industry concentration, the relative size of the stock market, and the number of firms listed may also be of significant explanatory power to cross-sectional market volatility differences. These findings can help predict international market ...