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Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance

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  • Eirini Syngelaki

    ()
    (Economics,Finance and Accounting, National University of Ireland, Maynooth)

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    Abstract

    This paper investigates the causal linkages between monetary and equity market integration of the new member states (NMS) as well as of the non economic monetary union (Non- EMU) member states with the euro zone, after the official launch of the euro. Granger causality in mean and in variance tests are utilized. Our results reveal a number of interesting facts that can be summarized as follows. Firstly, there is little evidence of causality in mean effects for all countries. Secondly, there are significant spill over effects for the NMS. Thirdly, the excess currency return is the chief variable which leads the excess stock market return volatility of the NMS. Our findings have obvious implications for both investors and policy makers.

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    Bibliographic Info

    Paper provided by Department of Economics, Finance and Accounting, National University of Ireland - Maynooth in its series Economics, Finance and Accounting Department Working Paper Series with number n209-10.pdf.

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    Length: 43 pages
    Date of creation: 2010
    Date of revision:
    Handle: RePEc:may:mayecw:n209-10.pdf

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    Related research

    Keywords: monetary market integration; equity market integration; Granger causality in-mean and in-variance; AR; Univariate GARCH;

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    1. Balázs Égert & Evžen Kocenda, 2007. "Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp861, William Davidson Institute at the University of Michigan.
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