Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
AbstractThe benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks (see Odier and Solnik (1993)). This paper 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 paper 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 McAleer et al. (2009) and the VARMA-GARCH model of Ling and McAleer (2003). The countries that will be modelled in this paper are Australia, Japan, Singapore, New Zealand and USA.
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Date of creation: Sep 2009
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Other versions of this item:
- Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CARF F-Series CARF-F-170, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- NEP-ALL-2009-09-19 (All new papers)
- NEP-IFN-2009-09-19 (International Finance)
- NEP-SEA-2009-09-19 (South East Asia)
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- 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.
- Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
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University of Regensburg Working Papers in Business, Economics and Management Information Systems
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