Volatility Spillovers Between Foreign Exchange And Stock Markets PDF Download
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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 | : 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
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 | : 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 | : 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 | : 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 | : Sabri Boubaker |
Publisher | : World Scientific |
Total Pages | : 828 |
Release | : 2019-06-27 |
Genre | : Business & Economics |
ISBN | : 9813236663 |
Download Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers Book in PDF, ePub and Kindle
The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Author | : Matthias Kalkuhl |
Publisher | : Springer |
Total Pages | : 620 |
Release | : 2016-04-12 |
Genre | : Business & Economics |
ISBN | : 3319282018 |
Download Food Price Volatility and Its Implications for Food Security and Policy Book in PDF, ePub and Kindle
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author | : Laurence Fung |
Publisher | : |
Total Pages | : 0 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Return and Volatility Spillovers in Hong Kong Financial Markets Book in PDF, ePub and Kindle
This paper studies the return and volatility spillovers between the stock market, the Exchange Fund Notes market and the Hong Kong dollar forward exchange market. Based on a bivariate GARCH model that specifies exogenous influences in the conditional mean and variance equations, this study examines the source and magnitude of the return and volatility spillover between financial markets. The estimation results suggest that while the pattern of return spillover is not clear, there is some evidence of volatility transmissions between selected financial markets in Hong Kong. In terms of the economic impact, however, most of these spillovers are minimal. When financial markets are turbulent, the return spillover from the forward exchange market to the stock market and the volatility transmission from the forward exchange market to the Exchange Fund Notes market can be substantial. As such, close monitoring of the fluctuations in the forward exchange market is warranted.