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Applied Economics Volume 52, 2020 - Issue 19
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Articles

Volatility transmission between stock and foreign exchange markets: a connectedness analysis

Fernando Fernández-RodríguezDepartment of Quantitative Methods in Economics, Universidad de Las Palmas de Gran Canaria, Las Palmas de Gran Canaria, SpainView further author information
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Simón Sosvilla-RiveroComplutense Institute for International Studies, Universidad Complutense de Madrid, Madrid, SpainCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-2084-0640View further author information
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Pages 2096-2108 | Published online: 31 Oct 2019

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Kunwar Sanjay Tomar & Subodh Kesharwani. (2022) Asymmetric effect of monetary policy on Indian stock market sectors: Do monetary policy stimulus transpire the same effect on all sectors?. Cogent Economics & Finance 10:1.
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Serpil Kahraman & Merve Keser. (2022) Volatility Transmission Between the Japanese Stock Market and the Western Stock Market Indices: Time & Frequency Domain Connectedness Analysis with High-Frequency Data. Applied Economics 54:6, pages 670-684.
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Articles from other publishers (13)

Zhipeng He & Shuguang Zhang. (2024) Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries. Finance Research Letters 62, pages 105267.
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Deven Bathia, Riza Demirer, Román Ferrer & Ibrahim D. Raheem. (2023) Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies. Journal of International Money and Finance 139, pages 102948.
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Mehrad Asadi, Aviral Kumar Tiwari, Samad Gholami, Hamid Reza Ghasemi & David Roubaud. (2023) Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology. International Review of Financial Analysis 89, pages 102789.
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Inés Jiménez, Andrés Mora-Valencia & Javier Perote. (2023) Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. Emerging Markets Review 56, pages 101054.
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Ujjawal Sawarn & Pradyumna Dash. (2023) Time and frequency uncertainty spillover among macro uncertainty, financial stress and asset markets. Studies in Economics and Finance 40:3, pages 500-526.
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Gang-Jin Wang, Li Wan, Yusen Feng, Chi Xie, Gazi Salah Uddin & You Zhu. (2023) Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. International Review of Financial Analysis 86, pages 102518.
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Hao Wen Chang & Tsangyao Chang. (2023) How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach. The North American Journal of Economics and Finance 64, pages 101879.
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Maoxi Tian, Rim El Khoury & Muneer M. Alshater. (2023) The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies. Journal of International Financial Markets, Institutions and Money 82, pages 101712.
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Ion Pargaru, Carol Cristina Gombos, Carmen Spiridon & Ovidiu Andrei Cristian Buzoianu. (2022) Evolutions and trends regarding the monetary and fiscal-budgetary policy in Romania. Proceedings of the International Conference on Business Excellence 16:1, pages 381-389.
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GUEORGUI S. KONSTANTINOV & FRANK J. FABOZZI. (2022) PORTFOLIO VOLATILITY SPILLOVER. International Journal of Theoretical and Applied Finance 25:04n05.
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Julián Andrada-Félix, Adrian Fernandez-Perez, Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero. (2021) Time connectedness of fear. Empirical Economics 62:3, pages 905-931.
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Onur POLAT. (2021) Dynamic network connectedness of BRICS equity markets during the Covid-19 eraBRICS hisse senedi piyasalarının Covid-19 dönemi dinamik ağ bağlantılılığı. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14:4, pages 1486-1498.
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Dharmendra SinghM. TheivanayakiM. Ganeshwari. (2021) Examining Volatility Spillover Between Foreign Exchange Markets and Stock Markets of Countries such as BRICS Countries. Global Business Review, pages 097215092110205.
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