Please use this identifier to cite or link to this item: http://ktisis.cut.ac.cy/handle/10488/9759
Title: Stock and foreign exchange market linkages in emerging economies
Authors: Andreou, Elena 
Matsi, Maria 
Savvides, Andreas 
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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