IDEAS home Printed from https://ideas.repec.org/a/taf/oaefxx/v7y2019i1p1681573.html
   My bibliography  Save this article

Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

Author

Listed:
  • Charles O. Manasseh
  • Ndubuisi O. Chukwu
  • Felicia C. Abada
  • Jonathan E. Ogbuabor
  • Kenechukwu A. Onyeka
  • Okoro E. Okoro

Abstract

The study examined stock prices (SP) and exchange rate (ER) interactions with multivariate VAR-GARCH model using monthly data from January 2000 to October 2014. The results of the Engle and Granger and Johansen cointegration test show that there is stable long-term relationship between SP and ER. The empirical evidence of the VAR-GARCH model shows a significant mean spillover running from stock market to exchange market but not a mean spillover from exchange market to stock market. The variance equation results indicated the existence of bidirectional volatility transmission effect between SP and ERs, indicating the past innovations in stock market have the great effect on future volatility in foreign exchange market, and vice versa. The results have important implications for international portfolio managers in the portfolio diversification decisions and risk hedging strategies.

Suggested Citation

  • Charles O. Manasseh & Ndubuisi O. Chukwu & Felicia C. Abada & Jonathan E. Ogbuabor & Kenechukwu A. Onyeka & Okoro E. Okoro, 2019. "Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1681573-168, January.
    • Handle: RePEc:taf:oaefxx:v:7:y:2019:i:1:p:1681573
    DOI: 10.1080/23322039.2019.1681573
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23322039.2019.1681573
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/23322039.2019.1681573?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Abdorasoul Sadeghi & Hussein Marzban & Ali Hussein Samadi & Karim Azarbaiejani & Parviz Rostamzadeh, 2022. "Financial intermediaries and speculation in the foreign exchange market: the role of monetary policy in Iran’s economy," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-26, December.
    2. Yutaka Kurihara & Akio Fukushima & Shinichiro Maeda, 2020. "Can Bitcoin’S Price Be A Predictor Of Stock Prices?," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 5(4), pages 50-55, April.
    3. Baklaci, Hasan Fehmi & Aydoğan, Berna & Yelkenci, Tezer, 2020. "Impact of stock market trading on currency market volatility spillovers," Research in International Business and Finance, Elsevier, vol. 52(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:oaefxx:v:7:y:2019:i:1:p:1681573. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/OAEF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.