Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/9759
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Andreou, Elena | - |
dc.contributor.author | Matsi, Maria | - |
dc.contributor.author | Savvides, Andreas | - |
dc.date.accessioned | 2017-02-17T10:58:10Z | - |
dc.date.available | 2017-02-17T10:58:10Z | - |
dc.date.issued | 2013-12 | - |
dc.identifier.citation | Journal of International Financial Markets, Institutions and Money, 2013, vol. 27, pp. 248-268 | en_US |
dc.identifier.issn | 10424431 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/9759 | - |
dc.description.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. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Journal of International Financial Markets, Institutions and Money | en_US |
dc.rights | © Elsevier | en_US |
dc.subject | Emerging economies | en_US |
dc.subject | MGARCH | en_US |
dc.subject | Volatility spillovers | en_US |
dc.title | Stock and foreign exchange market linkages in emerging economies | en_US |
dc.type | Article | en_US |
dc.collaboration | University of Cyprus | en_US |
dc.subject.category | Economics and Business | en_US |
dc.journals | Subscription | en_US |
dc.country | Cyprus | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1016/j.intfin.2013.09.003 | en_US |
dc.relation.volume | 27 | en_US |
cut.common.academicyear | 2013-2014 | en_US |
dc.identifier.spage | 248 | en_US |
dc.identifier.epage | 268 | en_US |
item.fulltext | No Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | article | - |
item.grantfulltext | none | - |
item.languageiso639-1 | en | - |
item.cerifentitytype | Publications | - |
crisitem.journal.journalissn | 1042-4431 | - |
crisitem.journal.publisher | Elsevier | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.orcid | 0000-0002-0759-1275 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Appears in Collections: | Άρθρα/Articles |
CORE Recommender
SCOPUSTM
Citations
46
checked on Nov 9, 2023
WEB OF SCIENCETM
Citations
50
42
Last Week
0
0
Last month
1
1
checked on Oct 29, 2023
Page view(s)
456
Last Week
8
8
Last month
2
2
checked on Feb 16, 2025
Google ScholarTM
Check
Altmetric
Items in KTISIS are protected by copyright, with all rights reserved, unless otherwise indicated.