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- Title
DYNAMICS OF PRICE AND VOLATILITY SPILLOVERS AMONG STOCK AND FOREIGN EXCHANGES: EVIDENCE FROM SOUTH ASIAN COUNTRIES.
- Authors
SAMARAKOON, SMRK; PRADHAN, RUDRA P.; EDIRIWEEERA, EAIN; MARADANA, RANA P.
- Abstract
Our study focused on exploring the volatility spillover between foreign currency and stock markets, as well as the price dynamics of financial instruments traded in South Asian countries. We use daily data from 2001 to 2021 on the closing exchange rates of local currency to the US dollar and closing stock price indices of these countries. To capture the volatility spillover effect, we utilized the GARCH-BEKK model and used Granger Causality test results to test the price dynamics of these markets. Our findings revealed that the own volatility shocks significantly affect current market behavior and volatility effects spill over bi-directionally between foreign exchange rates and stock price indices in these countries. This study provides valuable insights for both domestic and international investors to understand the South Asian stock and foreign exchange markets, enabling them to make more efficient investment decisions based on the best market conditions.
- Subjects
VOLATILITY (Securities); STOCK price indexes; FOREIGN exchange; PRICES; U.S. dollar; FOREIGN exchange rates; FOREIGN exchange market
- Publication
Journal of Economic Development, 2024, Vol 49, Issue 2, p111
- ISSN
0254-8372
- Publication type
Article