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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach
Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16
-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …
Persistent link: https://www.econbiz.de/10011450341
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Time-varying impacts of macroeconomic variables on stock market returns and volatility : evidence from Pakistan
Rashid, Abdul; Javed, Aamir; Jehan, Zainab; Iqbal, Uzma - In: Romanian journal of economic forecasting 25 (2022) 3, pp. 144-166
Persistent link: https://www.econbiz.de/10013414184
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Return and volatility spillover among commodity futures, stock market and exchange rate : evidence from India
Maitra, Debasish; Dawar, Varun - In: Global business review 20 (2019) 1, pp. 214-237
Persistent link: https://www.econbiz.de/10011984156
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
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Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market
Karunanayake, Indika - In: Review of applied economics 10 (2014) 1/2, pp. 83-97
Persistent link: https://www.econbiz.de/10010506487
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Modeling volatility in the Gambian exchange rates : an ARMA-GARCH approach
Marreh, Sambujang; Olubusoye, Olusanya E.; Kihoro, John M. - In: International journal of economics and finance 6 (2014) 10, pp. 118-128
Persistent link: https://www.econbiz.de/10010422149
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Return and volatility spillovers between currency and bond markets in India
Sahoo, Sudarsana; Kumar Behera, Harendra; Trivedi, Pushpa L. - In: Macroeconomics and finance in emerging market economies 12 (2019) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10012176862
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Asymmetrical linkages between foreign exchange and stock markets : empirical evidence through linear and non-linear ARDL
Luqman, Rabia; Kouser, Rehana - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13
The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...
Persistent link: https://www.econbiz.de/10011895619
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Volatility transmission between stock market and foreign exchange returns : evidence from Botswana, Kenya and South Africa
Braha, Emmanuel Anoruo Habtu - In: African journal of business and economic research : AJBER 6 (2011) 2/3, pp. 73-91
Persistent link: https://www.econbiz.de/10009707921
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Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market
Karunanayake, Indika - In: Journal of international economic review 9 (2016) 2, pp. 225-239
Persistent link: https://www.econbiz.de/10011673059