Volatility Spillover Between Stock And Foreign Exchange Markets PDF Download
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Author | : Alok Kumar Mishra |
Publisher | : |
Total Pages | : 0 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Volatility Spillover Between Stock and Foreign Exchange Markets Book in PDF, ePub and Kindle
The study of volatility spillovers provides useful insights into how information is transmitted from stock market to foreign exchange market and vice versa. This paper explores volatility spillovers between the Indian stock and foreign exchange markets. The results indicate that there exists a bidirectional volatility spillover between the Indian stock market and the foreign exchange market with the exception of S&P CNX NIFTY and S&P CNX 500. The findings of the study also suggest that both the markets move in tandem with each other and there is a long run relationship between these two markets. The results of significant bidirectional volatility spillover suggest that there is an information flow (transmission) between these two markets and both these markets are integrated with each other. Accordingly, financial managers can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolio.
Author | : Bhaskar Bagchi |
Publisher | : Emerald Group Publishing |
Total Pages | : 225 |
Release | : 2016-11-01 |
Genre | : Business & Economics |
ISBN | : 1786355531 |
Download Dynamic Linkages and Volatility Spillover Book in PDF, ePub and Kindle
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Author | : Klaus Grobys |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Are Volatility Spillovers Between Currency and Equity Market Driven by Economic States? Evidence from the US Economy Book in PDF, ePub and Kindle
This study examines the volatility spillovers between the foreign exchange rate markets of three of the USA's major trading partners and the US stock market, utilizing the forecast-error variance decomposition framework of a VAR model proposed by Diebold and Yilmaz (2009). The empirical results, based on a data set covering the period 1986-2014 suggest that the level of total volatility spillover effects is high only when they precede periods of economic turbulence. If the economy is quiet, volatility spillover effects are virtually non-existent.
Author | : Abdul Qayyum |
Publisher | : |
Total Pages | : 30 |
Release | : 2006 |
Genre | : Foreign exchange market |
ISBN | : |
Download Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan Book in PDF, ePub and Kindle
Author | : Dr. Pradiptaarthi Panda |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Asymmetric and Volatility Spillover Between Stock Market and Foreign Exchange Market Book in PDF, ePub and Kindle
The 2008 financial crisis created a series of setbacks in major financial institutions worldwide. This paper attempts to investigate the volatility spillover effect between foreign exchange and stock market during different periods like pre-, post- and in-crisis period in India. By applying GARCH and EGARCH models in the daily data series of both rupee-dollar exchange rate and CNX Nifty return series, we report evidence of asymmetric and volatility spillover in the three sub-periods between these two markets. The post-crisis period has higher asymmetric and volatility spillover as compared to other periods. This result may help the investors, policy makers as well as portfolio managers for taking appropriate investment decisions.
Author | : Amalia Morales-Zumaquero |
Publisher | : |
Total Pages | : 62 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Volatility Spillovers Between Foreign-Exchange and Stock Markets Book in PDF, ePub and Kindle
This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which concentrate the majority of foreign exchange transactions (i.e. United Kingdom, Euro area, Australia, Swiss, Canada, United Kingdom and Japan), using daily data, during the period 1990 to 2015 and during the pre-global and post-global financial crisis periods. To that end, we employ two econometric methodologies: the C-GARCH methodology by Engle and Lee (1999) and the SVAR framework (Sohel Azad et al., 2015). Results suggest that: (i) permanent and transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis period; (iii) the presence of intra-spillovers and inter-spillovers increases substantially during the post-global financial crisis period and (iv) in all samples, the stock markets play a dominant role in the transmission of long-run and short-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long-run volatility triggers.
Author | : |
Publisher | : |
Total Pages | : 0 |
Release | : 2006 |
Genre | : Foreign exchange market |
ISBN | : |
Download Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan Book in PDF, ePub and Kindle
Author | : Mr.Mark P. Taylor |
Publisher | : International Monetary Fund |
Total Pages | : 28 |
Release | : 1992-05-01 |
Genre | : Business & Economics |
ISBN | : 1451978804 |
Download The Monetary Approach to the Exchange Rate Book in PDF, ePub and Kindle
We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dynamic error correction framework leads to exchange rate forecasts which are superior to those generated by a random walk forecasting model.
Author | : Luca Silipo |
Publisher | : |
Total Pages | : 40 |
Release | : 1998 |
Genre | : |
ISBN | : |
Download A Tale of Two Markets Volatility Spillovers Between the Foreign Exchange and the Stock Market Book in PDF, ePub and Kindle
Author | : Assoé, Kodjovi G |
Publisher | : Montréal : École des hautes études commerciales, Centre d'études en administration internationale |
Total Pages | : 24 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Volatility Spillovers Between Foreign Exchange and Emerging Stock Markets Book in PDF, ePub and Kindle