Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis

Hung Do, Robert Brooks and Sirimon Treepongkaruna

Global Finance Journal, 2015, vol. 28, issue C, 24-37

Abstract: We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis vs. non-crisis). Interestingly, our empirical results support a negative and bidirectional realized skewness spill-over effect between stock and FX markets in emerging regions. Overall, our analyses emphasize that it is important to account for the informational transmission through volatility and skewness in financial markets, especially during the turbulent periods.

Keywords: VAR; Bootstrap; High-frequency data; Spill-over; Higher moments (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1044028315000459
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:28:y:2015:i:c:p:24-37

DOI: 10.1016/j.gfj.2015.11.003

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

More articles in Global Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().