Open Access. Powered by Scholars. Published by Universities.®

Business Commons

Open Access. Powered by Scholars. Published by Universities.®

Finance and Financial Management

Series

2008

Exchange Rates

Articles 1 - 2 of 2

Full-Text Articles in Business

Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales Jan 2008

Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales

Conference papers

This paper investigates the nature of volatility spillovers between stock returns and exchange rates changes for the Czech Republic, Hungary, Poland and Slovakia for the 1999-2006 period. We divide our sample in two sub period, prior to the introduction of the Euro as since the single currency has been introduced. We use an EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is non-existence of significant spillovers in these countries, what suggest the …


Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales Jan 2008

Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales

Articles

This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.