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| Author | : Abdul Qayyum |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2006 |
| Genre | : Foreign exchange market |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2006 |
| Genre | : Foreign exchange market |
| ISBN | : |
| Author | : Abdul Qayyum |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2014 |
| Genre | : Foreign exchange |
| ISBN | : |
| Author | : Alok Kumar Mishra |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
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 | : Dr. Pradiptaarthi Panda |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
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 | : Luca Silipo |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
| Author | : Assoé, Kodjovi G |
| Publisher | : Montréal : École des hautes études commerciales, Centre d'études en administration internationale |
| Total Pages | : 24 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
| Author | : Muhammd Akram |
| Publisher | : |
| Total Pages | : |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
This study investigates the intensity and direction of return and volatility spillovers of Pakistan and its major trading partner's bond markets. This study employs the most recent Diebold and Yilmaz (2009, 2012) approach and consequently, calculates the total spillover, directional spillover, and net spillover indexes. For this purpose, daily data set spanning 5/4/2011-7/30/2019 have been used. To capture the secular and cyclical movements in trading partner's bond markets, this study carries out the rolling window analysis. The study finds evidence of dynamic connectedness among the bond markets of major trading partners on the base of spillovers indexes. In addition, the USA, EU, Singapore, and Malaysia are the main sources and originators of shocks spillover, and Pakistan, India, and Japan are the net shock receiver in this group, while China seems isolated to be market. The rolling window analyses conclude that relevant plots of returns and volatility spillovers intensify during the phases of financial or economic anxiety. These results have practical implications for researchers, practitioners, policymakers, and investors.
| Author | : Greg N. Gregoriou |
| Publisher | : CRC Press |
| Total Pages | : 654 |
| Release | : 2009-04-08 |
| Genre | : Business & Economics |
| ISBN | : 1420099558 |
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
| Author | : Seungho Jung |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2021-10-22 |
| Genre | : Business & Economics |
| ISBN | : 1557759677 |
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
