Volatility Transmission between Stock and Foreign Exchange Markets Patterns in Neighboring Areas
AbstractThis paper investigates spillover effects across stock and foreign exchange markets in France, Germany, UK and Japan by using daily data ant the GARCH approach. We propose an alternative procedure to investigate volatility transmission between stock and foreign exchange markets using both cointegration and co-persistence analysis. The empirical results suggest for the case of France and Japan a negative cross-effect running from the lagged exchange rate error to the stock prices conditional variance. On the other hand, we show that the exchange rate volatility affects negatively the conditional stock price variance. In addition we detect the presence of co-persistence relation between UK series. This result suggests that the UK financial markets are adjusted through the exchange rate volatility mechanism.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
Volume (Year): 5 (2001)
Issue (Month): 1 (Summer)
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Managing Editor).
If references are entirely missing, you can add them using this form.