Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/9759
Title: Stock and foreign exchange market linkages in emerging economies
Authors: Andreou, Elena 
Matsi, Maria 
Savvides, Andreas 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Emerging economies;MGARCH;Volatility spillovers
Issue Date: Dec-2013
Source: Journal of International Financial Markets, Institutions and Money, 2013, vol. 27, pp. 248-268
Volume: 27
Start page: 248
End page: 268
Journal: Journal of International Financial Markets, Institutions and Money 
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: 1042-4431
DOI: 10.1016/j.intfin.2013.09.003
Rights: © Elsevier
Type: Article
Affiliation : University of Cyprus 
Appears in Collections:Άρθρα/Articles

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