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    题名: The Role of Exchange Rate Fluctuations in the Volatility and Correlations in Emerging Markets
    作者: Wang, Alan T.;Jiang, I-Ming;Chang, Horng-Jinh;Cheng, Johnson T. S.
    关键词: stock index;exchange rate;LACs;TEs;DCC-GARCH
    日期: 2015-09-30
    上传时间: 2016-04-22 13:44:00 (UTC+8)
    出版者: Tamkang University
    摘要: The recent episodes of sanctions on Russia by international communities and the quan-
    titative easing by Japanese and European central banks highlight the importance of foreign
    exchange risk for international investors. This paper examines how and to what extent the
    volatility of exchange rate affect the volatility of local equity market for Latin American
    countries and transition economies. Compared to Mun [15], we find that the proportions of
    volatility of local equity market attributable to exchange rate fluctuations for Latin American
    countries and transition economies are much larger than those for more developed economies.
    Besides, an increase in exchange rate volatility is associated with an increase in the corre-
    lation between the local and the US equity markets for Latin American countries but with
    a decrease in the correlation for transition economies, both to a larger extend than devel-
    oped countries. In particular, our study indicates that the sign of the conditional correlation
    coefficient between exchange rate and local equity market varies across countries and time,
    inconsistent with the prediction by the so called “equity parity condition” in Hau and Rey
    [8].
    關聯: International Journal of Information and Management Sciences 26 (3), pp.219-238
    DOI: 10.6186/IJIMS.2015.26.3.2
    显示于类别:[管理科學學系暨研究所] 期刊論文

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