Volatility spillovers between foreign exchange and stock markets in industrialized countries

This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which constitute the majority of foreign exchange transactions (i.e. the United Kingdom, the United States, the Euro area, Australia, Switzerland, C...

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Detalles Bibliográficos
Autores: Morales-Zumaquero, Amalia, Sosvilla Rivero, Simón Javier
Tipo de recurso: artículo
Fecha de publicación:2018
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/19020
Acceso en línea:https://hdl.handle.net/20.500.14352/19020
Access Level:acceso abierto
Palabra clave:C32
F31
G15
Stock markets
Exchange rates
Market spillovers
Component-GARCH model
Long-run volatility
Short-run volatility
Econometría (Economía)
Economía internacional
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
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oai_identifier_str oai:docta.ucm.es:20.500.14352/19020
network_acronym_str ES
network_name_str España
repository_id_str
spelling Volatility spillovers between foreign exchange and stock markets in industrialized countriesMorales-Zumaquero, AmaliaSosvilla Rivero, Simón JavierC32F31G15Stock marketsExchange ratesMarket spilloversComponent-GARCH modelLong-run volatilityShort-run volatilityEconometría (Economía)Economía internacionalMercados bursátiles y financieros5302 Econometría5310 Economía InternacionalThis paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which constitute the majority of foreign exchange transactions (i.e. the United Kingdom, the United States, the Euro area, Australia, Switzerland, Canada, and Japan). Daily data during the period 1 January 1990 to 31 December 2015 and during the pre-global and post-global financial crisis periods is used. To that end, we employ two econometric methodologies: the C-GARCH methodology and the SVAR framework. Results suggest that: (I) permanent and transitory components of the conditional variance exhibit peaks in volatility during episodes of growing economic and financial instability;(II)the long-run volatility relationships are stronger than the short-run volatility linkages with a reinforcement during the post-global financial crisis period; (III) the presence of intraspillovers and inter-spillovers increases substantially during the post-global financial crisis period and (IV) the stock markets play a dominant role in the transmission of long-run and short-run volatility in all samples, except for the period after the global financial crisis, where the foreign exchange markets are the main long-run volatility triggers.ElsevierUniversidad Complutense de Madrid20182018-01-0120182018-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/19020reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/190202026-06-02T12:44:21Z
dc.title.none.fl_str_mv Volatility spillovers between foreign exchange and stock markets in industrialized countries
title Volatility spillovers between foreign exchange and stock markets in industrialized countries
spellingShingle Volatility spillovers between foreign exchange and stock markets in industrialized countries
Morales-Zumaquero, Amalia
C32
F31
G15
Stock markets
Exchange rates
Market spillovers
Component-GARCH model
Long-run volatility
Short-run volatility
Econometría (Economía)
Economía internacional
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
title_short Volatility spillovers between foreign exchange and stock markets in industrialized countries
title_full Volatility spillovers between foreign exchange and stock markets in industrialized countries
title_fullStr Volatility spillovers between foreign exchange and stock markets in industrialized countries
title_full_unstemmed Volatility spillovers between foreign exchange and stock markets in industrialized countries
title_sort Volatility spillovers between foreign exchange and stock markets in industrialized countries
dc.creator.none.fl_str_mv Morales-Zumaquero, Amalia
Sosvilla Rivero, Simón Javier
author Morales-Zumaquero, Amalia
author_facet Morales-Zumaquero, Amalia
Sosvilla Rivero, Simón Javier
author_role author
author2 Sosvilla Rivero, Simón Javier
author2_role author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C32
F31
G15
Stock markets
Exchange rates
Market spillovers
Component-GARCH model
Long-run volatility
Short-run volatility
Econometría (Economía)
Economía internacional
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
topic C32
F31
G15
Stock markets
Exchange rates
Market spillovers
Component-GARCH model
Long-run volatility
Short-run volatility
Econometría (Economía)
Economía internacional
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
description This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which constitute the majority of foreign exchange transactions (i.e. the United Kingdom, the United States, the Euro area, Australia, Switzerland, Canada, and Japan). Daily data during the period 1 January 1990 to 31 December 2015 and during the pre-global and post-global financial crisis periods is used. To that end, we employ two econometric methodologies: the C-GARCH methodology and the SVAR framework. Results suggest that: (I) permanent and transitory components of the conditional variance exhibit peaks in volatility during episodes of growing economic and financial instability;(II)the long-run volatility relationships are stronger than the short-run volatility linkages with a reinforcement during the post-global financial crisis period; (III) the presence of intraspillovers and inter-spillovers increases substantially during the post-global financial crisis period and (IV) the stock markets play a dominant role in the transmission of long-run and short-run volatility in all samples, except for the period after the global financial crisis, where the foreign exchange markets are the main long-run volatility triggers.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018-01-01
2018
2018-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/19020
url https://hdl.handle.net/20.500.14352/19020
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.300724

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