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International Transmission Effects Of Volatility Spillovers Between Stock Returns And Exchange Rates: Evidence From Greece, Portugal And Spain Since The Introduction Of The Euro, Lucia Morales May 2007

International Transmission Effects Of Volatility Spillovers Between Stock Returns And Exchange Rates: Evidence From Greece, Portugal And Spain Since The Introduction Of The Euro, Lucia Morales

Conference papers

This paper investigates the nature of volatility spillovers between stock returns and exchange rate changes for Greece, Spain and Portugal for the 1999-2006 period after the introduction of the Euro as well as the 1999-2001 and 2002-2003/May and 2003/June-2006 periods since the Euro has been introduced. We use an EGARCH model which takes into account whether bad news has the same impact on volatility as good news. We also investigate whether volatility spillovers between exchange rates and equity markets is stronger for some currencies than others. We find that there were no significant volatility spillovers from stock returns to exchange …