Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets. Design/methodology/approach – In contrast to the existing literature, industry-level stock data are applied to a trivariate Baba, Engle, Kraft and...

Purpose – The purpose of this paper is to examine volatility transmissions between portfolios of cross-listed equities and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate differences in the UK and German markets....

Purpose – The purpose of this paper is to examine the impact of the future of trading on volatility as well as the efficiency of the stock market of BRIC (Brazil, Russia, India and China) countries. This study also investigates the presence of day-of-the-week effect in BRIC countries' stock...

Purpose – The purpose of this paper is to examine volatility transmissions between portfolios of cross‐listed equities and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate differences in the UK and German markets....

Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets. Design/methodology/approach – In contrast to the existing literature, industry‐level stock data are applied to a trivariate Baba, Engle, Kraft and...

Purpose – The purpose of this paper is to examine the impact of the future of trading on volatility as well as the efficiency of the stock market of BRIC (Brazil, Russia, India and China) countries. This study also investigates the presence of day‐of‐the‐week effect in BRIC countries'...