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The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market

Author

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  • Malgorzata Doman

    (Poznan University of Economics)

  • Ryszard Doman

    (Adam Mickiewicz University in Poznan)

Abstract

The paper addresses the question of how the exchange rate dynamics affects the analysis of linkages between national stock markets. We consider two ways of tackling the problem. The first one consists in denominating the analyzed quotations in the same currency. The second deals with a direct introducing the exchange rate into a model. Our analysis is based on the daily return series on selected stock indices from the period 1995-2010. We model the dependence structure using dynamic copulas. This allows us to separate the dynamics of dependence from the volatility dynamics.

Suggested Citation

  • Malgorzata Doman & Ryszard Doman, 2011. "The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 73-86.
    • Handle: RePEc:cpn:umkdem:v:11:y:2011:p:73-86
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    References listed on IDEAS

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