Volatility spillover between stock prices and exchange rates: New evidence across the recent financial crisis period

Nurul Mozumder, Glauco De Vita, Khine S. Kyaw, Charles Larkin

    Research output: Contribution to journalArticlepeer-review

    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
    Original languageEnglish
    Pages (from-to)43-64
    Number of pages22
    JournalEconomic Issues
    Volume20
    Issue number1
    Publication statusPublished - 1 Sep 2015

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