Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets

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Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets

Author Info

Bodart, V.
Reding, P.

Additional information is available for the following registered author(s):

Vincent J. Bodart

Abstract

The paper investigates the potential effects of the exchange rate regime on the conditional volatilities and international correlations on bond and stock markets. The analysis is essentially empirical. It focuses on the recent experience of the EMS, and examines the behavior of domestic daily returns on bond and stock markets with the objective of identifying whether there exists significant differences in the patterns of volatilities and international correlations between ERM and non-ERM countries and across alternative episodes of ERM exchange rate variability.

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Publisher Info
Paper provided by Notre-Dame de la Paix, Sciences Economiques et Sociales in its series Papers with number 204.

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Length: 18 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:nodapa:204

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Related research
Keywords: EXCHANGE RATE ; BONDS ; STOCK MARKET;

Other versions of this item:

Article
- Bodart, Vincent & Reding, Paul, 1999. "Exchange rate regime, volatility and international correlations on bond and stock markets," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 133-151, January. [Downloadable!] (restricted)

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

Cited by:
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Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Habib, Maurizio Michael, 2002. "Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe," BOFIT Discussion Papers 7/2002, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]
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Hwee Kwan CHOW & Yoonbai KIM, 2004. "The Empirical Relationship Between Exchange Rates and Interest Rates in Post-Crisis Asia," Econometric Society 2004 Far Eastern Meetings 575, Econometric Society. [Downloadable!]
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- P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, 01. [Downloadable!] (restricted)
Marcel Fratzscher, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 48, European Central Bank. [Downloadable!]
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- Fratzscher, M., 2001. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers 48, Quebec a Montreal - Recherche en gestion.
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Hooi-Hooi Lean & Marwan Halim, 2005. "Bivariate Causality between Exchange Rates and Stock Prices on Major Asian Countries," Monash Economics Working Papers 10/05, Monash University, Department of Economics. [Downloadable!]
Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS. [Downloadable!]
Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
Christiansen, Charlotte, 2003. "Volatility-Spillover E ﬀects in European Bond Markets," Finance Working Papers 03-8, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
Straetmans, Stefan, 2000. "Extremal spillovers in financial markets," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2003. "The Euro and Corporate Valuations," Working Paper Series in Economics and Finance 525, Stockholm School of Economics, revised 06 Dec 2003. [Downloadable!]
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Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS. [Downloadable!]

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