Does world-level volatility matter for the average firm in a global equity market?

Baca, 2000, The rise of sector effects in major equity markets, Financial Analysts Journal, 34, 10.2469/faj.v56.n5.2388 Bekaert, 1997, Emerging equity market volatility, Journal of Financial Economics, 43, 29, 10.1016/S0304-405X(96)00889-6 Campbell, 1992, No news is good news: an asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281, 10.1016/0304-405X(92)90037-X Campbell, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance, 56, 1, 10.1111/0022-1082.00318 Cavaglia, 2000, The increasing importance of industry factors, Financial Analysts Journal, 41, 10.2469/faj.v56.n5.2389 De Santis, 1997, International asset pricing and portfolio diversification with time-varying risk, Journal of Finance, 54, 1881, 10.2307/2329468 Duffee, 1995, Stock returns and volatility: a firm-level analysis, Journal of Financial Economics, 37, 399, 10.1016/0304-405X(94)00801-7 French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2 Griffin, 1998, Another look at the role of the industry structure of markets for international diversification strategies, Journal of Financial Economics, 50, 351, 10.1016/S0304-405X(98)00041-5 Harvey, 1991, The world price of covariance risk, Journal of Finance, 46, 111, 10.2307/2328691 Heston, 1994, Does industrial structure explain the benefits of international diversification?, Journal of Financial Economics, 36, 3, 10.1016/0304-405X(94)90028-0 Koch, 1991, Evolution in dynamic linkages across national stock indices, Journal of International Money and Finance, 10, 231, 10.1016/0261-5606(91)90037-K Lin, 1994, Do bulls and bears move across borders? International transmission of stock returns and volatility, Review of Financial Studies, 7, 507, 10.1093/rfs/7.3.507 Longin, 1994, Is the correlation in international equity returns constant: 1960–1990?, Journal of International Money and Finance, 13, 3 Roll, 1992, Industrial structure and the comparative behavior of international stock market indices, Journal of Finance, 47, 3, 10.2307/2329089 Schwert, 1989, Why does stock market volatility change over time?, Journal of Finance, 44, 1115, 10.2307/2328636 Solnik, 1996, International market correlation and volatility, Financial Analysts Journal, 17, 10.2469/faj.v52.n5.2021