on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced … by changing volatility in the orthogonal factors. Excess returns are assumed to depend both on innovations in observable …

We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate … eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a … matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are …

We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of …

volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …