volatility, on the other. To capture the short- and long-run relationships between exchange rates, sovereign CDS, and market … volatility, our study applies the cross-section augmented autoregressive distributed lag (CS-ARDL) model by Chudik and Pesaran … (2015) with the pooled mean group (PMG) estimation method. The advantages of this setting are that it allows for cross …

the inclusion of exchange rate to determine its effect on the volatility of stock returns. Findings - The findings support … accounts for a slight change in the volatility of stock returns. Originality/value - The research provides empirical evidence …