Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets

Abdul Hakim and Michael McAleer

No CIRJE-F-663, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks (see Odier and Solnik (1993)). This paper investigates these conditions for several countries. Many papers have modelled both domestic interactions across asset markets and international interactions in individual asset markets in isolation, but rarely have they examined international interactions across asset markets. The paper fills this gap by modelling the international interactions across stock, bond and foreign exchange markets. Two models that meet these purposes are the VARMA-AGARCH model of McAleer et al. (2009) and the VARMA-GARCH model of Ling and McAleer (2003). The countries that will be modelled in this paper are Australia, Japan, Singapore, New Zealand and USA.

Pages: 47pages
Date: 2009-09
New Economics Papers: this item is included in nep-ifn and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf663.pdf (application/pdf)

Related works:
Journal Article: Modelling the interactions across international stock, bond and foreign exchange markets (2010)
Working Paper: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets (2009)
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:tky:fseres:2009cf663

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office ().