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On the Co-movements between Exchange Rate and Stock Price from Japan: A Multivariate FIGARCH-DCC Approach

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  • Moussa Wajdi
  • Mgadmi Nidhal
  • Regaïeg Rym

Abstract

This paper aims to investigate the inter-dependence of exchange rate and stock index from Japan. For this purpose, we use a dynamic conditional correlation (DCC) model into a multivariate Fractionally Integrated Exponential GARCH (FIGARCH). Framework takes account long memory and time varying correlations. Our findings reveal time-varying Co-movements evidence, a high persistence of conditional correlation and dynamic correlations revolve around a constant level. The findings support the idea of cross-market hedging and sharing of common information by investors. Â JEL classification numbers: C51, C58, F31, G12.

Suggested Citation

  • Moussa Wajdi & Mgadmi Nidhal & Regaïeg Rym, 2018. "On the Co-movements between Exchange Rate and Stock Price from Japan: A Multivariate FIGARCH-DCC Approach," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-4.
    • Handle: RePEc:spt:stecon:v:7:y:2018:i:4:f:7_4_4
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    References listed on IDEAS

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    Cited by:

    1. Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).

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    More about this item

    Keywords

    Exchange rate; Stocks; DCC-FIAPARCH; Japan.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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