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- Title
Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea.
- Authors
Heejoon Han; Na Kyeong Lee
- Abstract
This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-quantilogram recently proposed by Han et al. (2016). Considering various quantile ranges, we investigate various spillover effects between two markets. Our findings show that there exists an asymmetric bi-directional spillover between two markets and the interdependence between two markets implies that one market has significant predictive power on the other.
- Subjects
SOUTH Korea; FOREIGN exchange market; STOCK exchanges; QUANTILES; EXTERNALITIES; STOCK prices; PORTFOLIO management (Investments)
- Publication
East Asian Economic Review (EAER), 2016, Vol 20, Issue 4, p519
- ISSN
2508-1640
- Publication type
Article
- DOI
10.11644/KIEP.EAER.2016.20.4.320