Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries

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 E...

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Autor principal:	Morales,Lucía de las Nieves
Lenguaje:	English
Publicado:	Instituto de Economía, Pontificia Universidad Católica de Chile 2008
Materias:	Stock Retums Exchange Rates Integration Volatility spillovers EGARCH modelling
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212008000200002
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spelling	oai:scielo:S0717-682120080002000022009-03-11Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American CountriesMorales,Lucía de las Nieves Stock Retums Exchange Rates Integration Volatility spillovers EGARCH modelling 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.info:eu-repo/semantics/openAccessInstituto de Economía, Pontificia Universidad Católica de ChileCuadernos de economía v.45 n.132 20082008-11-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212008000200002en10.4067/S0717-68212008000200002
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Stock Retums Exchange Rates Integration Volatility spillovers EGARCH modelling
spellingShingle	Stock Retums Exchange Rates Integration Volatility spillovers EGARCH modelling Morales,Lucía de las Nieves Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
description	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.
author	Morales,Lucía de las Nieves
author_facet	Morales,Lucía de las Nieves
author_sort	Morales,Lucía de las Nieves
title	Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
title_short	Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
title_full	Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
title_fullStr	Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
title_full_unstemmed	Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
title_sort	volatility spillovers between equity and currency markets: eviderice from major latin american countries
publisher	Instituto de Economía, Pontificia Universidad Católica de Chile
publishDate	2008
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212008000200002
work_keys_str_mv	AT moralesluciadelasnieves volatilityspilloversbetweenequityandcurrencymarketsevidericefrommajorlatinamericancountries
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Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries

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