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dc.contributor.authorAndreou, Elenaen
dc.contributor.authorMatsi, Mariaen
dc.contributor.authorSavvides, Andreasen
dc.creatorAndreou, Elenaen
dc.creatorMatsi, Mariaen
dc.creatorSavvides, Andreasen
dc.date.accessioned2019-05-03T05:21:47Z
dc.date.available2019-05-03T05:21:47Z
dc.date.issued2013
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/47098
dc.description.abstractThis 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.isoengen
dc.sourceJournal of International Financial Markets, Institutions and Moneyen
dc.subjectEmerging economiesen
dc.subjectF31en
dc.subjectF36en
dc.subjectG15en
dc.subjectMGARCHen
dc.subjectVolatility spilloversen
dc.titleStock and foreign exchange market linkages in emerging economiesen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1016/j.intfin.2013.09.003
dc.description.volume27
dc.description.startingpage248
dc.description.endingpage268
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.description.totalnumpages248-268


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