The Study of Interdependence between Capital and Currency Markets Using Multivariate GARCH Models

Tomasz Chruscinski
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Tomasz Chruscinski: Nicolaus Copernicus University in Torun

Dynamic Econometric Models, 2009, vol. 9, 111-118

Abstract: In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented results developed an earlier study of World Stock Exchange classification. These stock exchanges will be further analysed according to their interaction.

Keywords: Multivariate GARCH Model; independence analysis; stock exchange; exchange rate. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:9:y:2009:p:111-118

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