Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
Fiche du document
1 novembre 2008
- handle: 10670/1.pxm27i
Ce document est lié à :
10.4067/S0717-68212008000200002
info:eu-repo/semantics/openAccess
Sujets proches
Fixed exchange rates Exchange rates Fluctuating exchange rates Flexible exchange rates Rates of exchange Foreign exchange--Rates Floating exchange ratesCiter ce document
Lucía de las Nieves Morales, « Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries », Cuadernos de Economía - Latin American Journal of Economics, ID : 10670/1.pxm27i
Métriques
Partage / Export
Résumé
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 notfind eviderice ofvolatility transmission in the opposite direction.