In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...

In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...

This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...

In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional...

In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than...

This paper examines the degree of correlation and possible causation between the prices of gold, oil, short- and long-term interest rates, U.S. equities and the U.S. currency value against the Euro and British Pound. The data set utilizes daily returns for the period between the beginning of...

This paper investigates the impact of the Turkish post-2001 stabilization reforms on the conditional correlation between the Turkish stock index (ISE 100) and the four major stock indices (S&P 500, FTSE 100, DAX 30, NIKKEI 225). We evaluate these correlations for the period ranging from January...

In pair-wise analyses of a sample of 9 developed and 12 emerging markets, we find evidence that emerging country currencies are positively correlated with their stocks. Since return correlation between currency and its stocks has been shown to be weak or negative, this finding is somewhat...

This paper examines the influence of oil prices on Canadian stock market using the cause-effect relationship between oil prices and the TSX index. Additionally, the relationship between the Canadian to US Dollar exchange rate and the TSX index was investigated. Results show that in the last...

This paper examines the degree of correlation, and possible causation, between the US Dollar (against the Euro and the British Pound) and the US equity market indexes (the S&P 500 and the NASDAQ composite). The information utilized in this study is the 14 year period beginning in January 1999...