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Asymmetric effects of exchange rate and its relationship with foreign investments : a case of Indian stock market
Siddiqui, Saif; Roy, Preeti - In: Vision : the journal of business perspective 25 (2021) 4, pp. 415-427
Persistent link: https://www.econbiz.de/10012660277
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Joint dynamics of foreign exchange and stock markets in emerging Europe
Ülkü, Numan; Demirci, Ebru - In: Journal of International Financial Markets, … 22 (2012) 1, pp. 55-86
This paper proposes an ideal specification for studying joint dynamics of emerging stock and foreign exchange markets, and applies it on European emerging markets where this interaction is of particular significance due to large external deficits. Results show that global developed and emerging...
Persistent link: https://www.econbiz.de/10011041487
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Impact of TED spread, bond spread, and implied volatility on stock market returns, oil prices, home prices and exchange rates
Dania, Akash; Malhotra, Davinder Kumar - In: International journal of bonds and derivatives 2 (2016) 4, pp. 329-343
Persistent link: https://www.econbiz.de/10011807737
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Joint dynamics of foreign exchange and stock markets in emerging Europe
Ülkü, Numan; Demirci, Ebru - In: Journal of international financial markets, … 22 (2012) 1, pp. 55-86
Persistent link: https://www.econbiz.de/10009540839
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …
Persistent link: https://www.econbiz.de/10009141353
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Intraday euro exchange rates and international macroeconomic announcements
Evans, Kevin; Speight, Alan - In: The European Journal of Finance 17 (2011) 2, pp. 83-110
This paper considers a 19-month sample of 5-min returns for three euro exchange rates, and provides an analysis of the news impact effects associated with the unexpected component of a wide range of international macroeconomic announcements. Our findings reveal that US news relating to leading...
Persistent link: https://www.econbiz.de/10009218978
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Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 738-757
dollar exchange rates as case study, our results show strong evidence of asymmetry and long memory in the conditional …
Persistent link: https://www.econbiz.de/10010702741
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732596
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10010732607
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732623