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“Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis”

Author

Listed:
  • Nàtalia Valls

    (Faculty of Economics, University of Barcelona)

  • Helena Chulià

    (Faculty of Economics, University of Barcelona)

Abstract

This paper examines volatility spillovers between the stock and currency markets of ten Asian economies in the period 2003 to 2014. To carry out this analysis, a multivariate asymmetric GARCH model is used. In general, our results present evidence of bidirectional volatility spillovers between both markets, independently of the individual country’s level of development. Additionally, our findings show that the global financial crisis has had mixed effects on the volatility transmission patterns. Overall, our results suggest that exchange rate policies and investment decisions should not be implemented without first taking into consideration the links between the stock and currency markets.

Suggested Citation

  • Nàtalia Valls & Helena Chulià, 2014. "“Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis”," IREA Working Papers 201431, University of Barcelona, Research Institute of Applied Economics, revised Dec 2014.
    • Handle: RePEc:ira:wpaper:201431
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    File URL: http://www.ub.edu/irea/working_papers/2014/201431.pdf
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Volatility Spillovers; GARCH; International financial markets; Exchange rates JEL classification: C32; G01; G15;
    All these keywords.

    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; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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