781
Views
43
CrossRef citations to date
0
Altmetric
Original Articles

Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period

Pages 669-685 | Received 13 Jun 2005, Accepted 27 Sep 2006, Published online: 28 Nov 2007

References

  • Aggarwal , R . 1981 . Exchange rates and stock prices: a study of the US capital markets under floating exchange rates . Akron Bus. econ. Rev. , 12 : 7 – 12 .
  • Ajayi , RA and Mougoué , M . 1996 . On the dynamic relation between stock prices and exchange rates: tests of Granger causality . J. finan. Res. , 19 : 193 – 207 .
  • Ajayi , RA , Friedman , J and Mehdian , SM . 1998 . On the relationship between stock returns and exchange rates: tests of Granger causality . Glob. Finan. J. , 9 : 241 – 251 .
  • Assoe , K . 2001 . Volatility spillovers between the stock markets and foreign exchange market . Cahier de recherches 04, CETAI, HEC-Montreal, Canada
  • Bahmani-Oskooe , M and Sohrabian , A . 1992 . Stock prices and the effective exchange of the dollar . Appl. Econ. , 24 : 459 – 464 .
  • Berndt , HJ , Hall , B , Hall , R and Haussman . 1974 . Estimation and inference in nonlinear structural models . Ann. Econ. Soc. Meas. , 3 : 653 – 665 .
  • Bhattacharya , B and Mukherjee , J . 2003 . “ Causal relationship between stock market and exchange rate: foreign exchange reserves and value of trade balance: a case study for India ” . In 5th Annual Conference on Money and Finance in the Indian Economy
  • Bollerslev , T . 1986 . Generalised autoregressive conditional heteroskedasticity . J. Economet. , 31 : 307 – 327 .
  • Bollerslev , T . 1990 . Modeling the coherence in short-run nominal exchange rates: a multivariate generalised ARCH approach . Rev. Econ. Statist. , 70 : 498 – 505 .
  • Bollerslev , T and Wooldridge , JM . 1992 . Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances . Economet. Rev. , 11 : 143 – 172 .
  • Branson , WH . 1983 . “ Macroeconomic determinants of real exchange risk ” . In Managing Foreign Exchange Risk , Edited by: Herring , RJ . Cambridge : Cambridge University Press .
  • Branson , WH and Henderson , DW . 1985 . “ The specification and influence of assets markets. ” . In Handbook of International Economics, 2 , Edited by: Jones , RW and Kenen , PB . Elsevier : Amsterdam .
  • Caporate , GM , Pittis , N and Spagnolo , N . 2002 . Testing for causality-in-variance: an application to the East Asian markets . Int. J. Finan. Econ. , 7 : 235 – 254 .
  • Cheung , YW and Ng , LK . 1996 . A causality-in-variance test and its application to financial market prices . J. Economet. , 72 : 33 – 48 .
  • Chiang , TC . 1991 . International asset pricing and equity market risk . J. Int. Mon. Finan. , 10 : 349 – 364 .
  • Chiang , TC , Yang , SY and Wang , TS . 2000 . Stock return and exchange rate risk: evidence from Asian stock markets based on a bivariate GARCH model . Int. J. Bus. , 5 : 97 – 117 .
  • Chiang , TC and Yang , SY . 2003 . Foreign exchange risk premiums and time-varying equity market risks . Int. J. Risk Assess. Mgmt , 4 : 310 – 331 .
  • Chung-Chu , C . 2003 . International information transmissions between index futures and spot markets: the case of futures contracts related to Taiwan index . Tamsui Oxford J. Mgmt Sci. , 19 : 51 – 78 .
  • Cumperayot , P , Keijzer , T and Kouwenberg , R . 2006 . Linkages between extreme stock market and currency returns . Int. J. Mon. Finan. , 25 : 528 – 550 .
  • Dornbush , R and Fisher , S . 1980 . Exchange rates and the current account . Am. Econ. Rev. , 70 : 960 – 971 .
  • Dumas , B and Solnik , B . 1995 . The world price of foreign exchange risk . J. Finan. , 50 : 445 – 477 .
  • Engle , RF and Ng , VK . 1993 . Measuring and testing the impact of news on volatility . J. Finan. , 48 : 1749 – 1778 .
  • Fujii , E . 2005 . Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of the crises . Int. Finan. Mkts, Inst. Mon. , 15 : 315 – 345 .
  • Frank , P and Young , A . 1972 . Stock price reaction of multinational firms to exchange realignments . Finan. Mgmt , 1 : 66 – 73 .
  • Frankel , J . 1983 . “ Monetary and portfolio balance models of exchange rate determination ” . In Economic Interdependence and Flexible Exchange Rates , Edited by: Bhandari , J and Putnam , B . 84 – 114 . Cambridge, MA : MIT Press .
  • Giovannini , A and Jorion , A . 1987 . Interest rates and risk premia in the stock market and in the foreign exchange market . J. Int. Mon. Finan. , 6 : 107 – 124 .
  • Glosten , LR , Jagannathan , R and Runkle , DE . 1993 . On the relation between the expected value and the volatility of the nominal excess returns on stocks . J. Finan. , 48 : 1791 – 1801 .
  • Granger , CW , Bwo-Nung , H and Chin-Wei , Y . 2000 . A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu . Q. Rev. Econ. Finan. , 40 : 337 – 354 .
  • Hamao , Y , Masulis , R and Ng , V . 1990 . Correlations in price changes and volatility across international stock exchanges . Rev. Finan. Stud. , 3 : 281 – 307 .
  • Johansen , S . 1988 . Statistical analysis of cointegration vectors . J. Econ. Dynam. Contr. , 12 : 231 – 254 .
  • Jorion , P . 1990 . The exchange rate exposure of the U.S. multinationals . J. Bus. , 63 : 331 – 345 .
  • Jorion , P . 1991 . The pricing of exchange rate risk in the stock market . J. Finan. Quant. Anal. , 26 : 363 – 376 .
  • Kanas , A . 2000 . Volatility spillovers between stock returns and exchange rate changes: international evidence . J. Bus. Finan. Account. , 27 : 447 – 467 .
  • Kanas , A and Kouretas , GP . 2002 . Mean and variance causality between the official and parallel currency markets: evidence from four Latin American countries . Finan. Rev. , 37 : 137 – 164 .
  • Koutmos , G and Booth , G . 1995 . Asymmetric volatility transmission in international markets . J. Int. Mon. Finan. , 14 : 747 – 762 .
  • Korajczyk , RA and Viallet , JC . 1992 . Equity risk premia and the pricing of foreign exchange risk . J. Int. Econ. , 33 : 199 – 220 .
  • Laopodis , NT . 1988 . Asymmetric volatility spillovers in Deutsche Mark exchange rates . J. Multinatl Finan. Mgmt. , 8 : 413 – 430 .
  • Ljung , G and Box , G . 1979 . On a measure of lack of fit in time series models . Biometrika , 66 : 265 – 270 .
  • Ma , CK and Kao , GW . 1990 . On exchange rate changes and stock price reactions . J. Bus. Finan. Account. , 17 : 441 – 449 .
  • Nelson , DB . 1991 . Conditional heteroskedasticity asset returns: a new approach . Econometrica , 2 : 370 – 374 .
  • Nieh , CC and Lee , F . 2001 . Dynamic relationships between stock prices and exchange rates for G-7 countries . Q. Rev. Econ. Finan. , 4 : 477 – 490 .
  • Phillips , PCB and Perron , P . 1988 . Testing for unit root in time series regressions . Biometrica , 65 : 335 – 346 .
  • Phylaktis , K and Ravazzolo , F . 2005 . Stock prices and exchange rate dynamics . J. Int. Mon. Finan. , 24 : 1031 – 1053 .
  • Ramasamy , B and Yeung , LH . 2005 . The causality between stock returns and exchange rates revisited . Australian Economic Papers , 44 : 162 – 169 .
  • Raymond , S and Nandha , M . 2003 . Bivariate causality between exchange rates and stock prices in South Asia . Appl. Econ. Lett. , 10 : 699 – 704 .
  • Roll , R . 1992 . Industrial structure and the comparative behaviour on international stock market indices . J. Finan. , 47 : 3 – 41 .
  • So , W . 2001 . Price and volatility spillovers between interest rate and exchange value of the US dollar . Glob. Finan. J. , 12 : 128 – 139 .
  • Soenen , L and Hennigan , E . 1988 . An analysis of exchange rates and stock prices: the US experience between 1980 and 1986 . Akron Bus. econ. Rev. , 19 : 141 – 149 .
  • Solnik , B . 1987 . Using financial prices to test exchange rate models: a note . J. Finan. , 42 : 141 – 149 .
  • Stavarek , D . 2004 . “ Linkages between stock prices and exchange rates in the EU and the United States ” . Working Paper
  • Yang , SY and Doong , SC . 2004 . Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries . Int. J. Bus. Econ. , 3 : 139 – 153 .
  • Yu , SW . 1997 . Price discovery and lead–lag effect in Nikkei 225 stock index futures . J. Secur. Develop. , 9 : 29 – 62 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.