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

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