Transmission internationale de la volatilité des prix d’actifs financiers: les relations entre les marchés français et américains de 1997 à 2000

Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period

David Laborde Debucquet and Serge Rey

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French stock prices, while changes in French and American stock prices influence significatively the euro/dollar exchange rate. Moreover, it appears that the volatilities of stock markets are linked (with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the euro/dollar volatility "Granger-cause" the rate of return on stocks.

Keywords: Stock market; volatility; ARCH model; causality; SUR method; Euro/dollar (search for similar items in EconPapers)
JEL-codes: C32 E44 F31 (search for similar items in EconPapers)
Date: 2001-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/30284/1/MPRA_paper_30284.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:30284

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().