Volatility Spillover between Stock Prices and Exchange Rates: New Evidence across the Recent Financial Crisis Period

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Author
Mozumder, Nurul
De Vita, Glauco
Kyaw, Sandy
Larkin, Charles
Date
2015Type
Article
ISSN
1363-7029
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Show full item recordAbstract
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.
Journal/conference proceeding
Economic Issues;
Citation
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
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The final published version is available at http://www.economicissues.org.uk
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