Συλλογές
Τίτλος Volatility spillover analysis between stock returns and exchange rate changes: The recovery from the two recent crises.
Δημιουργός Sakantanis, Stamatis
Συντελεστής Athens University of Economics and Business, Department of Accounting and Finance
Τύπος Text
Φυσική περιγραφή 70 σ.
Γλώσσα en
Περίληψη This survey explores the volatility transmission mechanism between stock and foreign exchange markets for eleven mainly developed economies. The research includes stock markets of seven major worldwide economies, four of Eurozone and five major exchange rates. The four Eurozone economies are Portugal, Italy, Greece and Spain, which have recently faced serious fiscal problems. The data consist of daily returns and cover a period from 2000 to 2014. In order to conduct a thorough investigation, the entire sample is separated into four subsamples. The objective of the research is to analyze the volatility short-run interdependencies both in normal and turbulent times and make a comparison between them. Furthermore, its target is to identify the directions of the influences, especially during the crises periods. Employing an exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model, I find volatility spillover effects from both stock and currency markets for the full sample. Additionally, the volatility transmission is increased during the periods of financial and fiscal instability. Finally, a new period is examined covering more than last year with the assumption that it is the recovery period.
Λέξη κλειδί Volatility spillover analysis
Stock returns
Exchange rate
Ημερομηνία έκδοσης 12-12-2014
Άδεια χρήσης https://creativecommons.org/licenses/by/4.0/