Stock and foreign exchange market linkages in emerging economies
Date
2013Author
Andreou, ElenaMatsi, Maria
Savvides, Andreas
Source
Journal of International Financial Markets, Institutions and MoneyVolume
27Pages
248-268Google Scholar check
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This paper investigates bi-directional linkages between the stock and foreign exchange markets of a number of emerging economies. This is accomplished by estimating a vector autoregressive model with Generalized Autoregressive Conditional Heteroskedasticity (VAR-GARCH) for each of twelve emerging economies. Included in model dynamics are the effects of global and regional stock markets on the stock and foreign exchange markets. We find significant bi-directional spillovers between stock and foreign exchange markets. Moreover, we investigate whether a country's choice of exchange rate regime or the Asian financial crisis had a significant effect on the volatility spillover mechanism. © 2013 Elsevier B.V.