The Role of Exchange Rate Fluctuations in the Volatility and Correlations in Emerging Markets
學年 104
學期 1
出版（發表）日期 2015-09-30
作品名稱 The Role of Exchange Rate Fluctuations in the Volatility and Correlations in Emerging Markets
作品名稱（其他語言）
著者 Wang, Alan T.; Jiang, I-Ming; Chang, Horng-Jinh; Cheng, Johnson T. S.
單位
出版者
著錄名稱、卷期、頁數 International Journal of Information and Management Sciences 26 (3), pp.219-238
摘要 The recent episodes of sanctions on Russia by international communities and the quan- titative easing by Japanese and European central banks highlight the importance of foreign exchange risk for international investors. This paper examines how and to what extent the volatility of exchange rate affect the volatility of local equity market for Latin American countries and transition economies. Compared to Mun [15], we find that the proportions of volatility of local equity market attributable to exchange rate fluctuations for Latin American countries and transition economies are much larger than those for more developed economies. Besides, an increase in exchange rate volatility is associated with an increase in the corre- lation between the local and the US equity markets for Latin American countries but with a decrease in the correlation for transition economies, both to a larger extend than devel- oped countries. In particular, our study indicates that the sign of the conditional correlation coefficient between exchange rate and local equity market varies across countries and time, inconsistent with the prediction by the so called “equity parity condition” in Hau and Rey [8].
關鍵字 stock index;exchange rate;LACs;TEs;DCC-GARCH
語言 zh_TW
ISSN
期刊性質 國內
收錄於 EI
產學合作
通訊作者 I-Ming Jiang
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/106271 )

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