Document Type
Article
Rights
This item is available under a Creative Commons License for non-commercial use only
Disciplines
Business and Management.
Abstract
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.
DOI
https://doi.org/10.21427/D7DJ3K
Recommended Citation
Morales, L (2008) Volatility spillovers between equity and currency markets: evidence from major Latin American countries. Cuadernos de Economica, Latin American Journal of Economics, Vol.45 (November), pp.185-215, 2008.
Publication Details
In Cuadernos de Economica, Latin American Journal of Economics, Vol.45 (November), pp.185-215, 2008.