Volatility Spillovers between Foreign Exchange and Emerging Stock Markets

K. Assoé

Working Papers from Ecole des Hautes Etudes Commerciales de Montreal-

Abstract: This paper investigates the dynamic interrelationship between exchange rate changes and stock market performance in eleven emerging markets and five developed markets. It examines the nature of information transmission across asset classes and countries in order to understand how shocks are propagated across markets.

Keywords: EXCHANGE RATE; STOCK MARKET; INFORMATION (search for similar items in EconPapers)
JEL-codes: F31 G10 G12 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2001
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:etcomo:2001-04

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