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Title: Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis
Author: Valls Ruiz, Natàlia
Chuliá Soler, Helena
Keywords: Mercat financer
Canvi exterior
Bancs d'inversió
Societats d'inversió
Financial market
Foreign exchange
Investment banking
Mutual funds
Issue Date: 2014
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Series/Report no: [WP E-IR14/31]
Abstract: This paper examines volatility spillovers between the stock and currency markets of ten Asian economies in the period 2003 to 2014. To carry out this analysis, a multivariate asymmetric GARCH model is used. In general, our results present evidence of bidirectional volatility spillovers between both markets, independently of the individual country’s level of development. Additionally, our findings show that the global financial crisis has had mixed effects on the volatility transmission patterns. Overall, our results suggest that exchange rate policies and investment decisions should not be implemented without first taking into consideration the links between the stock and currency markets.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2014, IR14/31
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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