Stock and foreign exchange market linkages in emerging economies

Elena Andreou, Maria Matsi and Andreas Savvides ()

Journal of International Financial Markets, Institutions and Money, 2013, vol. 27, issue C, 248-268

Abstract: This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. This is accomplished by estimating a vector autoregressive model with Generalized Autoregressive Conditional Heteroskedasticity (VAR-GARCH) for each of twelve emerging economies. Included in model dynamics are the effects of global and regional stock markets on the stock and foreign exchange markets. We find significant bi-directional spillovers between stock and foreign exchange markets. Moreover, we investigate whether a country's choice of exchange rate regime or the Asian financial crisis had a significant effect on the volatility spillover mechanism.

Keywords: Volatility spillovers; MGARCH; Emerging economies (search for similar items in EconPapers)
JEL-codes: F31 F36 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (25)

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Working Paper: Stock and Foreign Exchange Market Linkages in Emerging Economies (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:27:y:2013:i:c:p:248-268

DOI: 10.1016/j.intfin.2013.09.003

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