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Modelling the interactions across international stock, bond and foreign exchange markets

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  • Abdul Hakim
  • Michael McAleer

Abstract

The benefits of investing internationally depend on three conditions, namely, cross-country correlations, market volatilities and future changes in currency risks (Odier and Solnik, 1993). This article 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 article 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 Hoti et al. (2002) and the VARMA-GARCH model of Ling and McAleer (2003). The countries that will be modelled in this article are Australia, Japan, Singapore, New Zealand and USA.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 42 (2010)
Issue (Month): 7 ()
Pages: 825-850

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Handle: RePEc:taf:applec:v:42:y:2010:i:7:p:825-850

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Citations

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Cited by:
  1. Pami Dua & Divya Tuteja, 2013. "Interdependence Of International Financial Market-- The Case Of India And U.S," Working papers 223, Centre for Development Economics, Delhi School of Economics.
  2. John Beirne & Jana Gieck, 2014. "Interdependence and Contagion in Global Asset Markets," Review of International Economics, Wiley Blackwell, vol. 22(4), pages 639-659, 09.
  3. Abdul Hakim & Michael McAleer, 2009. "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CIRJE F-Series CIRJE-F-677, CIRJE, Faculty of Economics, University of Tokyo.
  4. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," University of Regensburg Working Papers in Business, Economics and Management Information Systems 473, University of Regensburg, Department of Economics.

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