Volatility Spillover between Stock Prices and Exchange Rates: New Evidence across the Recent Financial Crisis Period
De Vita, Glauco
MetadataShow full item record
We employ an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model to examine the volatility spillover effects between stock prices and exchange rates in three developed and three emerging countries across the recent pre-financial-crisis, crisis and post-crisis periods. The evidence indicates asymmetric volatility spillover effects between stock prices and exchange rates in both developed and emerging economies during the financial crisis. The findings of the significant volatility spillover effects between exchange rates and stock prices imply that the markets are informationally inefficient, and one market has significant predictive power on the other.
Mozumder, N., De Vita, G., Kyaw, K. and Larkin, C. (2015) 'Volatility spillover between stock prices and exchange rates: new evidence across the recent financial crisis period', Economic Issues, 20(1), pp. 43-64
The final published version is available at http://www.economicissues.org.uk
Showing items related by title, author, subject and abstract.
Mozumder, Nurul (Cardiff Metropolitan University, 2013)The relationship between exchange rates and stock prices is examined in three independent but inter-connected studies. The original contribution of first study is the finding that interest rates have a significant non-liner ...
Nguyen, Thuy Thu (Cardiff Metropolitan University, 2016)The prime contribution of this research is that it provides various empirical results regarding the bivariate and multivariate causality and cointegrating relationships between Vietnam’s stock market returns and macroeconomic ...
NIU, JIAZHEN (Cardiff Metropolitan University, 2014)Abstract: This paper is to examine the interaction between the Renminbi (RMB) nominal exchange rate and China stock price with VEC models using data from January 1994 to December 2013. The examined period has been divided ...