Volatility Spillovers Between Equity and Currency Markets: Evidence from Major Latin American Countries
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Business and Management.
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.
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.
In Cuadernos de Economica, Latin American Journal of Economics, Vol.45 (November), pp.185-215, 2008.