Abstract
We employ an Exponential Generalised 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
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
Original language | English |
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Pages (from-to) | 43-64 |
Number of pages | 22 |
Journal | Economic Issues |
Volume | 20 |
Issue number | 1 |
Publication status | Published - 1 Sept 2015 |
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Glauco De Vita
- Research Centre for Business in Society - Professor in Business and Management
Person: Teaching and Research