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Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries
16 references·16 citing·28 second hopsampled
Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries (2004)Price and Volatility Spillovers between S…Co-Integration and Error-Correction: Representation, Estimation, and Testing (2010)Co-Integration and Error-Corr…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Testing for a Unit Root (1993)Testing for a Unit RootMeasuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Stock prices and the effective exchange rate of the dollar (1992)Stock prices and the effectiv…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Stock market volatility: a systematic review (2023)Stock market volatility: a sy…Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets (2023)Interconnected multilayer net…Multiscale features of extreme risk spillover networks among global stock markets (2022)Multiscale features of extrem…Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries (2020)Volatility spillover effects …Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)Commodity and transportation …Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals (2019)Time-frequency causality and …Network connectedness and net spillover between financial and commodity markets (2018)Network connectedness and net…Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests (2018)Determining the predictive po…Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries (2016)Dynamics of volatility spillo…Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis (2015)Spillover effects between exc…Returns and volatility spillover between stock prices and exchange rates (2013)Returns and volatility spillo…Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates (2012)Asymmetric effects and long m…Economic linkages across commodity futures: Hedging and trading implications (2008)Economic linkages across comm…Dynamic correlations and volatility effects in the Balkan equity markets (2008)Dynamic correlations and vola…Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period (2007)Price and volatility spillove…Financial Integration and the Wealth Effect of Exchange Rate Fluctuations (2005)Financial Integration and the…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)On the Empirics of Sudden Stops: The Relevance of Balance-Sheet Effects (2004)International Liquidity and Exchange Rate Dynamics * (2015)Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine (2022)Econometric Analysis of Cross Section and Panel Data (2001)A long memory property of stock market returns and a new model (1993)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 1993Testing for a Unit Root872 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1992Stock prices and the effective exchange rate of the dollar489 cited
  • 2010Co-Integration and Error-Correction: Representation, Estimation, and Testing

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489 cited
  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries472 cited
  • Cited by

    • 2019Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals188 cited
    • 2018Network connectedness and net spillover between financial and commodity markets182 cited
    • 2015Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis170 cited
    • 2016Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries114 cited
    • 2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets109 cited
    • 2013Returns and volatility spillover between stock prices and exchange rates107 cited
    • 2008Economic linkages across commodity futures: Hedging and trading implications92 cited
    • 2020Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries90 cited
    • 2023Stock market volatility: a systematic review86 cited
    • 2007Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period83 cited
    • 2008Dynamic correlations and volatility effects in the Balkan equity markets82 cited
    • 2012Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates81 cited
    • 2018Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests81 cited
    • 2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model78 cited
    • 2005Financial Integration and the Wealth Effect of Exchange Rate Fluctuations64 cited
    • 2022Multiscale features of extreme risk spillover networks among global stock markets62 cited