posted on 2022-03-01, 13:18authored byNurul Mozumder, Glauco De Vita, Kyaw, Sandy, Charles Larkin
We employ an Exponential Generalized 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.
Mozumder, N., De Vita, G., Kyaw, K. and Larkin, C. (2015) 'Volatility spillover between stock prices and exchange rates: new evidence across the recent financial crisis period', Economic Issues, 20(1), pp. 43-64