The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market

Malgorzata Doman and Ryszard Doman
Additional contact information
Malgorzata Doman: Poznan University of Economics
Ryszard Doman: Adam Mickiewicz University in Poznan

Dynamic Econometric Models, 2011, vol. 11, 73-86

Abstract: The paper addresses the question of how the exchange rate dynamics affects the analysis of linkages between national stock markets. We consider two ways of tackling the problem. The first one consists in denominating the analyzed quotations in the same currency. The second deals with a direct introducing the exchange rate into a model. Our analysis is based on the daily return series on selected stock indices from the period 1995-2010. We model the dependence structure using dynamic copulas. This allows us to separate the dynamics of dependence from the volatility dynamics.

Keywords: stock market; stock index; linkages; denomination; exchange rate; copula. (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.dem.umk.pl/dem/archiwa/v11/05_Doman_Doman_.pdf (application/pdf)

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:cpn:umkdem:v:11:y:2011:p:73-86

Access Statistics for this article

Dynamic Econometric Models is currently edited by Mariola Pilatowska

More articles in Dynamic Econometric Models from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().