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Full-Text Articles in Finance and Financial Management
Volatility Spillovers Between Stock Prices And Exchange Rates: Empiral Evidence From Six Apec Economies, Lucia Morales, Mary O'Donnell
Volatility Spillovers Between Stock Prices And Exchange Rates: Empiral Evidence From Six Apec Economies, Lucia Morales, Mary O'Donnell
Conference papers
This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our main results indicate that since the Asian financial crises, there exists significant scope for investors and portfolio managers to diversify their assets between stocks and currencies in these markets. In particular, the lack of volatility spillovers between stock markets and exchange rates, and between exchange rates and stock markets in all countries, except Taiwan in the post crises period indicates that there is scope for investors to diversify their investments and to benefit from potential gains …
Re-Evaluating Hedging Performance, Jim Hanly, John Cotter
Re-Evaluating Hedging Performance, Jim Hanly, John Cotter
Articles
Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using traditional variance based approaches together with modern risk management techniques including Value at Risk, Conditional Value at Risk and approaches based on Downside Risk. Our findings indicate that using these metrics to evaluate hedging performance, yields differences in terms of best hedging strategy as compared with the traditional variance measure. We also find significant differences in performance between short …