Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Financial Crisis And Dynamic The Dependency Between Six International Currencies Volatility With Sectors Volatility: Evidence From Six Australian Sectors, Ramzi Tarazi, Mohammad Zahidul Hasan
Financial Crisis And Dynamic The Dependency Between Six International Currencies Volatility With Sectors Volatility: Evidence From Six Australian Sectors, Ramzi Tarazi, Mohammad Zahidul Hasan
Business Conference Papers
This paper investigates the influence of volatility of foreign exchange rate of the U.S., the U.K., Netherlands, Japan, China and Singapore to the volatility of the six Australian sectors within the investigated period controlling for the time periods global financial crisis 2007-2008.The volatility in this study was estimated using GARCH(1,1) models. Daily data is collected for a period of 2002 to 2014. The dataset is divided into three sub periods: before GFC (July 2002 to July 2007), during GFC (July 2007 to July 2009) and after GFC (July 2009 to July 2014). The estimated results find strong relationship between exchange …