Volatility spillovers between stock returns and exchange rate changes: International evidence

Journal of Business Finance and Accounting

Volumn 27, Issue 3-4, 2000, Pages 447-467

  Kanas, Angelos ^a  

^a UNIVERSITY OF CRETE   (Greece)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009321066     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00320     Document Type: Article

References (37)

1. Ajayi, R. A. and M. Mougoue (1996), 'On the Dynamic Relation Between Stock Prices and Exchange Rates', The Journal of Financial Research, Vol. XIX, No. 2, pp. 193-207.
2. Arshanapalli, B. and J. Doukas (1993), 'International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Crash', Journal of Banking and Finance, Vol. 17, pp. 193-208.
3. Bank of England Quarterly Bulletin (1989), 'London as an International Financial Centre', Vol. 29, pp. 516-28.
4. Bierens, H. J. (1997a), 'Nonparametric Cointegration Analysis', Journal of Econometrics, Vol. 77, pp. 379-404.
5. - (1997b), 'EasyReg' (Department of Economics, Pennsylvania State University, University Park, PA).
6. Bodnar, G. and W. M. Gentry (1993), 'Exchange Rate Exposure and Industry Characteristics; Evidence from Canada, Japan and the USA', Journal of International Money and Finance, Vol. 12, pp. 29-45.
7. - G. S. Hayt, R. C. Marston and C. W. Smithson (1995), 'Wharton Survey of Derivatives Usage by US Non-financial Firms', Financial Management, Vol. 24, pp. 104-14.
8. Bollerslev, T. (1990), 'Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalised ARCH Approach', Review of Economics and Statistics, Vol. 70, pp. 498-505.
9. Bollerslev, T. and J. Wooldridge (1992), 'Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances', Econometric Reviews, Vol. 11, pp. 143-72.
10. - R. Chou and K. Kroner (1992), 'ARCH Modelling in France: Theory and Empirical Evidence', Journal of Econometrics, Vol. 37, pp. 5-59.
11. Booth, L. and W. Rotenberg (1990), 'Assessing Foreign Exchange Exposure: Theory and Applications Using Canadian Firms', Journal of International Financial Management and Accounting, Vol. 2, pp. 1-22.
12. Branson, W. H. (1983), 'Macroeconomic Determinants of Real Exchange Rate Risk', in R. J. Herring (ed.), Managing Foreign Exchange Risk (Cambridge, University Press, MA).
13. Corhay, A. and T. Rad (1994), 'Statistical Properties of Daily Returns: Evidence from European Stock Markets', Journal of Business Finance & Accounting, Vol. 21, No. 2 (March), pp. 271-82.
14. Correia, E. B, R. J. Perman and W. P. Rees (1993), 'An Empirical Analysis of the Sensitivity of UK Company Stock Returns to Exchange Rate Fluctuations', Paper presented at the 1993 European Finance Association Annual Meeting (Copenhagen).
15. Dominguez, K. M. (1993), 'Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?' NBER Working Paper, No. 4532 (November), pp. 47.
16. Dornbusch, R. and S. Fisher (1980), 'Exchange Rates and the Current Account', American Economic Review, Vol. 70 (December), pp. 960-71.
17. Engle, R. F. and C. W. J. Granger (1987). Co-integration and Error Correction: Representation, Estimation and Testing', Econometrica, Vol. 55, pp. 251-76.
18. Frankel, J. A. (1983), 'Monetary and Portfolio-Balance Models of Exchange Rate Determination, in J. S. Bhandari and B. H. Putman (eds.), Economic Interdependence and Flexible Exchange Rates (MIT Press, Cambridge, MA).
19. French, K. R., G. W. Schwert and R. F. Stambaugh (1987), 'Expected Stock Returns and Volatility', Journal of Financial Economics, Vol. 19, pp. 3-29.
20. Gavin, M. (1989), 'The Stock Market and Exchange Rate Dynamics', Journal of International Money and Finance, Vol. 8, pp. 181-200.
21. Grant, K. and A. P. Marshall (1997), 'Large UK Companies and Derivatives', European Financial Management, Vol. 3, No. 2, pp. 191-208.
22. Hamilton, J. D. (1994), Time Series Analysis (Princeton University Press, Princeton).
23. Hekman, C. R. (1985), 'A Financial Model of Foreign Exchange Exposure', Journal of International Business Studies, Vol. 16, No. 2, pp. 83-99.
24. Jorion, P. (1990), 'The Exchange Rate Exposure of US Multinationals', Journal of Business, Vol. 63, pp. 331-45.
25. Karolyi, G. A. (1995), 'A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada', Journal of Business and Economic Statistics, Vol. 13, pp. 11-25.
26. Koutmos, G. and G. G. Booth (1995), 'Asymmetric Volatility Transmission in International Stock Markets', Journal of International Money and Finance, Vol. 14, pp. 747-62.
27. - and P. Theodossiou (1994), 'Time Series Properties and Predictability of Greek Exchange Rates', Managerial and Decision Economics (March/April), pp. 159-67.
28. Levy, H. (1996), 'Introduction to Investments' (South Western Publishing, Cincinnati, Ohio).
29. Nelson, D. B. (1991), 'Conditional Heteroscedasticity in Asset Returns: A New Approach', Econometrica, Vol. 59, No 2, (March), pp 347-70.
30. Poon, S. H. and S. Taylor (1990), 'Stock Returns and Volatility: An Empirical Study of the UK Stock Market', Paper presented at the 17th European Finance Association meeting (Athens).
31. Press, W., B. Flannery, S. Tevkolsky and W. Vetterling (1988), Numerical Recipes in C (Cambridge University Press, New York).
32. Roll, R. (1992), 'Industrial Structure and the Comparative Behaviour of International Stock Market Indices', Journal of Finance, Vol. XLVII (March), pp. 3-41.
33. Sercu, P. and C. Vanhulle (1992), 'Exchange Rate Volatility, International Trade, and the Value of Exporting Firms', Journal of Banking and Finance, Vol. 16, pp. 155-82.
34. Smith, C. E. (1992), 'Stock Markets and the Exchange Rate: A Multi-Country Approach', Journal of Macroeconomics, Vol. 14, No 4 (Fall), pp. 607-29.
35. Solnik, B. (1974), 'An Equilibrium Model of International Capital Market', Journal of Economic Theory, Vol. 8, pp. 500-24.
36. Tesar, L. and I. Werner (1995), 'Home Bias and Foreign Turnover', Journal of International Money and Finance, Vol 14, No. 4, pp. 467-92.
37. Zapatero, F. (1995), 'Equilibrium Asset Prices and Exchange Rates', Journal of Economic Dynamics and Control, Vol. 19, pp. 787.