Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea

Heejoon Han and Na Kyeong Lee ()
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Na Kyeong Lee: Sungkyunkwan University

East Asian Economic Review, 2016, vol. 20, issue 4, 519-544

Abstract: This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-quantilogram recently proposed by Han et al. (2016). Considering various quantile ranges, we investigate various spillover effects between two markets. Our findings show that there exists an asymmetric bi-directional spillover between two markets and the interdependence between two markets implies that one market has significant predictive power on the other.

Keywords: Quantile; Cross-Quantilogram; Spillover; Foreign Exchange Market; Stock Market (search for similar items in EconPapers)
JEL-codes: C12 C22 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0005

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