Please use this identifier to cite or link to this item:
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
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.
ISSN: 10424431
Rights: © 2013 Elsevier B.V.
Type: Article
Appears in Collections:Άρθρα/Articles

Show full item record

Page view(s)

Last Week
Last month
checked on Feb 23, 2019

Google ScholarTM


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