We investigate cross-market volatility spillover effects across New York and London foreign exchange and equity markets. By using several daily data-sets, each relating to a different time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover effects (meteor shower effects) from the foreign exchange market in London and New York to the equity market in New York and London, respectively. By contrast, the results did not show volatility spillover effects from the equity markets to the foreign exchange markets across New York and London. Copyright 2001 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Article provided by University of Manchester in its journal Manchester School.
Volume (Year): 69 (2001) Issue (Month): 0 (Supplement) Pages: 81-96 Download reference. The following formats are available: HTML
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