The impact of financial globalisation on stock market volatility in European Union countries

Zaher, Heba Faissal and Buics, László (2022) The impact of financial globalisation on stock market volatility in European Union countries. HUNGARIAN STATISTICAL REVIEW, 5 (1). pp. 109-122. ISSN 2630-9130

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Abstract

This study examines the impact of financial globalisation on stock market volatility in 24 countries, based on yearly observations from 1993 to 2019. Previous research shows that growing global financial linkages are decreasing countries’ stock market volatility. The financial globalisation composite index consists of two indices. The first is the de facto index, which measures the actual activities and flows between a country and other parts of the world, and the second is the de jure index, which expresses the conditions and policies that enable these activities and flows. According to the authors’ results, the de facto index has no significant effect on countries’ stock market volatility, while there is a significant negative relationship between the de jure index and stock market volatility, underlining the importance of policies and conditions conducive to financial globalisation.

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