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Applied Economics Letters Volume 9, 2002 - Issue 8
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Original Articles

Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan

Angelos Kanas
Pages 501-503 | Published online: 06 Oct 2010

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Karan Rai & Bhavesh Garg. (2022) Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies: evidence from the COVID-19 outbreak period. Applied Economics Letters 29:8, pages 738-745.
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Bibhuti Ranjan Mishra, Ashis Kumar Pradhan, Aviral Kumar Tiwari, Aruna Kumar Dash & Mothkuri Aruna. (2020) Exchange Rate Return and Volatility Spillover across Major Trading Partners of India. Journal of Asia-Pacific Business 21:2, pages 80-101.
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Jimoh Olajide Raji, Yusnidah Ibrahim & Siti-Aznor Ahmad. (2017) Stock Price Index and Exchange Rate Nexus in African Markets. International Economic Journal 31:1, pages 112-134.
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Taeyoon Sung, Danbee Park & Ki Young Park. (2014) Short-Term External Debt and Foreign Exchange Rate Volatility in Emerging Economies: Evidence from the Korea Market. Emerging Markets Finance and Trade 50:sup6, pages 138-157.
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Walid M. A. Ahmed. (2014) Dynamic interactions between Egyptian equity and currency markets prior to and during political unrest. Applied Financial Economics 24:20, pages 1347-1359.
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Ender Su & John F. O. Bilson. (2011) Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index. Applied Economics 43:26, pages 3891-3905.
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Shu-Chen Chang & Chung-Hua Shen. (2011) The effect of exchange-rate uncertainty on unemployment in three developing Asian countries: evidence from bivariate GARCH approach. Applied Economics Letters 18:8, pages 783-788.
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Yuan-Hung Hsu Ku. (2008) Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management. Applied Economics 40:13, pages 1685-1697.
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Wen-Hsiu Kuo, Hsinan Hsu & Min-Hsien Chiang. (2008) Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan. Applied Financial Economics 18:5, pages 421-430.
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Articles from other publishers (21)

Tao Luo, Huaping Sun, Lixia Zhang & Jiancheng Bai. (2024) Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?. International Review of Economics & Finance 89, pages 597-611.
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Ngo Thai Hung, Linh Thi My Nguyen & Xuan Vinh Vo. (2022) Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches. Journal of International Financial Markets, Institutions and Money 81, pages 101628.
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Murat AKKAYA. (2022) Türkiye Döviz Piyasasında Oynaklık ve Oynaklık Yayılımı Üzerine Bir UygulamaA Case on Volatility and Volatility Spillover in the Turkey’s Foreign Exchange Market. Alanya Akademik Bakış 6:3, pages 2707-2719.
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Hüseyin Başar ÖNEM. (2022) Döviz Kurları ve CDS Primi Oynaklığının BIST Endekslerine Yayılım EtkisiSpread Effect of Exchange Rates and CDS Premium Volatility on BIST Indices. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi 6:2, pages 274-293.
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Maud Korley & Evangelos Giouvris. (2021) The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa. Journal of Risk and Financial Management 14:3, pages 122.
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Evan Warshaw. (2020) Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain. International Review of Economics & Finance 68, pages 1-14.
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O. P. C. Muhammed Rafi & M. Ramachandran. (2018) Capital flows and exchange rate volatility: experience of emerging economies. Indian Economic Review 53:1-2, pages 183-205.
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Oguzhan Ozcelebi. 2018. Trade and Global Market. Trade and Global Market.
Bram Daelemans, Joseph P. Daniels & Farrokh Nourzad. (2017) Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA. Open Economies Review 29:1, pages 141-163.
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Oscar Bajo-Rubio, Burcu Berke & David McMillan. (2017) The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. Research in International Business and Finance 41, pages 577-589.
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Shu Yi Lim & Siok Kun Sek. (2014) Exploring the Inter-relationship between the Volatilities of Exchange Rate and Stock Return. Procedia Economics and Finance 14, pages 367-376.
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Shu-Chen Chang. (2011) The interrelationship between exchange-rate uncertainty and unemployment for South Korea and Taiwan: Evidence from a vector autoregressive approach. Économie internationale n° 125:1, pages 65-82.
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Georgios Katechos. (2011) On the relationship between exchange rates and equity returns: A new approach. Journal of International Financial Markets, Institutions and Money 21:4, pages 550-559.
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Nikolaos Giannellis & Athanasios P. Papadopoulos. (2011) What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries. Journal of International Money and Finance 30:1, pages 39-61.
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Shu-Chen Chang. (2011) The interrelationship between exchange-rate uncertainty and unemployment for South Korea and Taiwan: Evidence from a vector autoregressive approach. International Economics 125, pages 65-82.
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Mohamed Abdelaziz EissaGeorgios ChortareasAndrea Cipollini. (2010) Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region. Journal of Emerging Market Finance 9:3, pages 257-284.
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Hansoo Yoo. (2008) Exchange Rate Volatility and Stock Price Index Volatility. Global Business Administration Review 5:1, pages 125-148.
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Shu-Chen Chang, Chung-Te Ting & Chung-Hua Shen. (2007) Estimating the impact of exchange-rate uncertainty on unemployment in developing Asian countries. Estimating the impact of exchange-rate uncertainty on unemployment in developing Asian countries.
Matthew Q. McPherson. (2006) Is There a Link Between Foreign Exchange Market Stability and Stock Market Correlations? Evidence from Canada. Multinational Business Review 14:1, pages 45-58.
Crossref
David G. McMillan, Burcu Berke & Oscar BajooRubio. (2016) The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises. SSRN Electronic Journal.
Crossref
Gerard H. Kuper. (2009) Correlation Dynamics in East Asian Financial Markets. SSRN Electronic Journal.
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