Volatility Spillovers between Foreign Exchange and Emerging Stock Markets

K. Assoé

Working Papers from Ecole des Hautes Etudes Commerciales de Montreal-

Abstract: This paper investigates the dynamic interrelationship between exchange rate changes and stock market performance in eleven emerging markets and five developed markets. It examines the nature of information transmission across asset classes and countries in order to understand how shocks are propagated across markets.

Keywords: EXCHANGE RATE; STOCK MARKET; INFORMATION (search for similar items in EconPapers)
JEL-codes: G10 G12 F31 (search for similar items in EconPapers)
Date: 2001

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Persistent link: http://EconPapers.repec.org/RePEc:fth:etcomo:2001-04

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