Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/9759
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. |
URI: | https://hdl.handle.net/20.500.14279/9759 |
ISSN: | 10424431 |
DOI: | 10.1016/j.intfin.2013.09.003 |
Rights: | © Elsevier |
Type: | Article |
Affiliation : | University of Cyprus |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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