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|Title:||Stock and foreign exchange market linkages in emerging economies||Authors:||Andreou, Elena
|Keywords:||Emerging economies;MGARCH;Volatility spillovers||Category:||Economics and Business||Field:||Social Sciences||Issue Date:||1-Dec-2013||Publisher:||Elsevier||Source:||Journal of International Financial Markets, Institutions and Money, 2013, Volume 27, Issue 1, Pages 248-268||metadata.dc.doi:||http://dx.doi.org/10.1016/j.intfin.2013.09.003||Abstract:||This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. This is accomplished by estimating a vector autoregressive model with Generalized Autoregressive Conditional Heteroskedasticity (VAR-GARCH) for each of twelve emerging economies. Included in model dynamics are the effects of global and regional stock markets on the stock and foreign exchange markets. We find significant bi-directional spillovers between stock and foreign exchange markets. Moreover, we investigate whether a country's choice of exchange rate regime or the Asian financial crisis had a significant effect on the volatility spillover mechanism.||URI:||http://ktisis.cut.ac.cy/handle/10488/9759||ISSN:||10424431||Rights:||© 2013 Elsevier B.V.||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
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