dc.contributor.author | Andreou, Elena | en |
dc.contributor.author | Matsi, Maria | en |
dc.contributor.author | Savvides, Andreas | en |
dc.creator | Andreou, Elena | en |
dc.creator | Matsi, Maria | en |
dc.creator | Savvides, Andreas | en |
dc.date.accessioned | 2019-05-03T05:21:47Z | |
dc.date.available | 2019-05-03T05:21:47Z | |
dc.date.issued | 2013 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47098 | |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.source | Journal of International Financial Markets, Institutions and Money | en |
dc.subject | Emerging economies | en |
dc.subject | F31 | en |
dc.subject | F36 | en |
dc.subject | G15 | en |
dc.subject | MGARCH | en |
dc.subject | Volatility spillovers | en |
dc.title | Stock and foreign exchange market linkages in emerging economies | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/j.intfin.2013.09.003 | |
dc.description.volume | 27 | |
dc.description.startingpage | 248 | |
dc.description.endingpage | 268 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.description.totalnumpages | 248-268 | |