Return-volatility linkages in the international equity and currency markets

Bill B. Francis, Iftekhar Hasan and Delroy M. Hunter
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Bill B. Francis: University of South Florida - College of Business Administration
Delroy M. Hunter: University of South Florida - College of Business Administration

Finance from EconWPA

Abstract: This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations between pairs of national equity markets and related exchange rates. This provides a parsimonious way of testing mean- volatility relationships in currency and equity markets and re-examining the robustness of relationships between equity markets, while controlling for exchange rate effects. We find that the relationship between currency and equity markets is bi-directional, significant, persistent, and independent of the relationship strictly between equity markets, and that it is better captured by the conditional second moments

Keywords: international asset pricing; exchange rate determination; equity markets; relationships between currency and equity markets (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-fin, nep-fmk and nep-ifn
Date: 2004-05-18
Note: Type of Document - pdf
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http://129.3.20.41/eps/fin/papers/0405/0405022.pdf (application/pdf)

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Working Paper: Return-volatility linkages in the international equity and currency markets (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0405022

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