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Volatility Spillover between Stock Prices and Exchange Rates: New Evidence across the Recent Financial Crisis Period

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journal contribution
posted on 01.03.2022, 13:18 by Nurul 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.

History

Published in

Economic Issues

Publisher

Nottingham Trent University

Version

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. 43-64

Print ISSN

1363-7029

Cardiff Met Affiliation

  • Cardiff School of Management

Cardiff Met Authors

Sandy Kyaw

Cardiff Met Research Centre/Group

  • Welsh Centre for Business and Management Research

Copyright Holder

© The Publisher

Language

en