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IR14-031_Valls-Chulia.pdf (443.74 KB)

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Document de treball

Data de publicació

2014

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cc-by-nc-nd, (c) Valls et al., 2014
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/60522

Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis

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Resum

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.

Matèries

Mercat financer, Canvi exterior, Bancs d'inversió, Societats d'inversió

Matèries (anglès)

Financial market, Foreign exchange, Investment banking, Mutual funds

Citació

Col·leccions

Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Citació

VALLS RUIZ, Natàlia, CHULIÁ SOLER, Helena. Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis. _IREA – Working Papers_. 2014. Vol.  IR14/31. [consulta: 20 de gener de 2026]. ISSN: 2014-1254. [Disponible a: https://hdl.handle.net/2445/60522]

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