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Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries
13 references·16 citing·41 second hop
Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries (2016)Dynamics of volatility spillover between …Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2013)Exchange rate movements and s…Exchange return co-movements and volatility spillovers before and after the introduction of euro (2012)Exchange return co-movements …Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)Stock market volatility and e…Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach (2007)Testing stock market linkages…Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries (2004)Price and Volatility Spillove…Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence (2000)Volatility Spillovers Between…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…The Specification and Influence of Asset Markets (1984)The Specification and Influen…Economic Interdependence and Flexible Exchange Rates (1984)Economic Interdependence and …Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Volatility Spillover Effects between Indian Stock Market and Global Stock Markets: A DCC-GARCH Model (2023)Volatility Spillover Effects …An analysis of stock markets integration and dynamics of volatility spillover in emerging nations (2023)An analysis of stock markets …The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies (2022)The nonlinear and negative ta…Following the leaders? A study of co-movement and volatility spillover in BRICS currencies (2022)Following the leaders? A stud…Relation-aware dynamic attributed graph attention network for stocks recommendation (2021)Relation-aware dynamic attrib…Impact of COVID-19 on Global Stock Market Volatility (2021)Impact of COVID-19 on Global …Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies (2021)Effects of the COVID-19 pande…Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries (2020)Volatility spillover effects …Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries (2019)Spillover Effects Between Sto…Return and volatility spillover across equity markets between China and Southeast Asian countries (2019)Return and volatility spillov…Linkages and Spillovers between Internet Finance and Traditional Finance: Evidence from China (2019)Linkages and Spillovers betwe…Equalizing Seasonal Time Series Using Artificial Neural Networks in Predicting the Euro–Yuan Exchange Rate (2019)Equalizing Seasonal Time Seri…Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model (2018)Volatility Behaviour of the F…STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS (2018)STOCK RETURNS, VOLATILITY AND…Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan (2017)Islamic and conventional equi…Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia (2017)Does volatility spillover amo…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)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 New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Time‐Varying World Market Integration (1995)Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis (2015)Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015)Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries (2016)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)A General Equilibrium Approach To Monetary Theory (1969)Expectations and Exchange Rate Dynamics (1976)In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)Empirical exchange rate models of the seventies (1983)Exchange Rate Economics: A Survey (1991)Stock prices and exchange rate dynamics (2005)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)How strong is the linkage between tourism and economic growth in Europe? (2014)Dynamic spillovers between commodity and currency markets (2015)Economic policy uncertainty in the US and China and their impact on the global markets (2018)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)Financial Crash, Commodity Prices, and Global Imbalances (2008)Dynamic relationship between exchange rate and stock price: Evidence from China (2009)Modelling oil price and exchange rate co-movements (2011)Chapter 37 Puzzles in international financial markets (1995)Asset price bubbles : the implications for monetary, regulatory, and international policies (2003)Asymmetric volatility connectedness on the forex market (2017)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 1984The Specification and Influence of Asset Markets367 cited
  • 1984Economic Interdependence and Flexible Exchange Rates286 cited
  • 2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence281 cited
  • 2013Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries275 cited
  • 2012Exchange return co-movements and volatility spillovers before and after the introduction of euro237 cited
  • 2011Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach233 cited
  • 2004Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries232 cited
  • 2007Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach138 cited

Cited by

  • 2017Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia

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94 cited
  • 2020Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries90 cited
  • 2021Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies88 cited
  • 2021Relation-aware dynamic attributed graph attention network for stocks recommendation86 cited
  • 2019Return and volatility spillover across equity markets between China and Southeast Asian countries80 cited
  • 2021Impact of COVID-19 on Global Stock Market Volatility80 cited
  • 2019Equalizing Seasonal Time Series Using Artificial Neural Networks in Predicting the Euro–Yuan Exchange Rate46 cited
  • 2022The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies44 cited
  • 2023An analysis of stock markets integration and dynamics of volatility spillover in emerging nations39 cited
  • 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS37 cited
  • 2018Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model35 cited
  • 2019Linkages and Spillovers between Internet Finance and Traditional Finance: Evidence from China32 cited
  • 2017Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan31 cited
  • 2019Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries30 cited
  • 2022Following the leaders? A study of co-movement and volatility spillover in BRICS currencies29 cited
  • 2023Volatility Spillover Effects between Indian Stock Market and Global Stock Markets: A DCC-GARCH Model29 cited