On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated producing evidence of unidirectional spillovers from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and of bidirectional spillovers in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite direction in the euro area and Switzerland, whilst there is evidence of bidirectional feedback in the US and Canada. These findings imply limited opportunities for investors to diversify their assets during this period
Year of publication: |
2013
|
---|---|
Authors: | Caporale, Guglielmo Maria |
Other Persons: | Hunter, John (contributor) ; Menla Ali, Faek (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Börsenkurs | Share price | Wechselkurs | Exchange rate | Bankenkrise | Banking crisis | Kointegration | Cointegration | Kausalanalyse | Causality analysis |
Saved in:
freely available
Extent: | 1 Online-Ressource (32 p) |
---|---|
Series: | CESifo Working Paper Series ; No. 4189 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 16, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2251824 [DOI] |
Classification: | F31 - Foreign Exchange ; G15 - International Financial Markets ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013083258