Idiosyncratic Volatility and Global Equity Markets

Posted: 29 Jan 2015

See all articles by Klaus Grobys

Klaus Grobys

University of Vaasa; University of Jyväskyla

Date Written: October 6, 2014

Abstract

This article investigates the relation of Idiosyncratic Volatility (IVOL) and future returns on a portfolio level in global equity markets. In contrast to previous studies (Ang et al. 2006, 2009), it reveals that the spread between stock indices exhibiting a high IVOL and stock indices with low IVOL is positive and unrelated to movements in the business cycle. Traditional asset pricing models cannot explain the spread.

Keywords: Idiosyncratic Volatility, global equity markets, international stock indices, business cycle

JEL Classification: G12, G14

Suggested Citation

Grobys, Klaus, Idiosyncratic Volatility and Global Equity Markets (October 6, 2014). Applied Economics Letters, Vol. 22, No. 5, 2015, Available at SSRN: https://ssrn.com/abstract=2552466

Klaus Grobys (Contact Author)

University of Vaasa ( email )

P.O. Box 700
Wolffintie 34
FIN-65101 Vaasa
Finland

University of Jyväskyla ( email )

Jyväskyla
Finland

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