Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis

Nàtalia Valls () and Helena Chuliá
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Nàtalia Valls: Faculty of Economics, University of Barcelona

No 201431, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: This paper examines volatility spillovers between the stock and currency markets of ten Asian economies in the period 2003 to 2014. To carry out this analysis, a multivariate asymmetric GARCH model is used. In general, our results present evidence of bidirectional volatility spillovers between both markets, independently of the individual country’s level of development. Additionally, our findings show that the global financial crisis has had mixed effects on the volatility transmission patterns. Overall, our results suggest that exchange rate policies and investment decisions should not be implemented without first taking into consideration the links between the stock and currency markets.

Keywords: Volatility Spillovers; GARCH; International financial markets; Exchange rates JEL classification: C32; G01; G15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2014-12, Revised 2014-12
New Economics Papers: this item is included in nep-sea
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:201431

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