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
Issue Date: 1-Dec-2013
Publisher: Elsevier
Source: Journal of International Financial Markets, Institutions and Money, 2013, Volume 27, Issue 1, Pages 248-268
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.
Appears in Collections:Άρθρα/Articles

Show full item record

Page view(s)

18
Last Week
0
Last month
1
checked on Aug 21, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.