Volatility Spillover between Stock Prices and Exchange Rates paper for EI.pdf (465.11 kB)
Download fileVolatility Spillover between Stock Prices and Exchange Rates: New Evidence across the Recent Financial Crisis Period
journal contribution
posted on 2022-03-01, 13:18 authored by Nurul Mozumder, Glauco De Vita, Kyaw, Sandy, Charles LarkinWe 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.
History
Published in
Economic IssuesPublisher
Nottingham Trent UniversityVersion
- AM (Accepted Manuscript)
Citation
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. 43-64Print ISSN
1363-7029Cardiff Met Affiliation
- Cardiff School of Management
Cardiff Met Authors
Sandy KyawCardiff Met Research Centre/Group
- Welsh Centre for Business and Management Research
Copyright Holder
- © The Publisher
Language
- en