Transmission internationale de la volatilité des prix d’actifs financiers : les relations entre les marchés français et américains de 1997 à 2000
[Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period]
AbstractThis paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French stock prices, while changes in French and American stock prices influence significatively the euro/dollar exchange rate. Moreover, it appears that the volatilities of stock markets are linked (with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the euro/dollar volatility "Granger-cause" the rate of return on stocks.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 30284.
Date of creation: Jun 2001
Date of revision:
Stock market; volatility; ARCH model; causality; SUR method; Euro/dollar;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F31 - International Economics - - International Finance - - - Foreign Exchange
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