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Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to …
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
Conference papers
This thesis examines the relationship between exchange rates and stock prices in a number of European countries. We focus our attention in three different regions of Europe that are: four Eastern European markets, Czech Republic, Hungary, Poland and Slovakia, four South European Countries: Greece, Italy, Portugal and Spain and one West European Country: Ireland, using daily data we analyze the relationship between these two financial markets from 1996 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Engle and Granger two step and Johansen cointegration techniques, Vector Error Correction Modeling Technique and …
Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales
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
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.