Impact of stock market trading on currency market volatility spillovers

被引：8

作者：

Baklaci, Hasan Fehmi ^{[1
]}

Aydogan, Berna ^{[1
]}

Yelkenci, Tezer ^{[2
]}

机构：

[1] Izmir Univ Econ, Fac Business, Dept Int Trade & Finance, Sakarya Caddesi 156 Balcova, TR-35330 Izmir, Turkey

[2] Nora Int Forwarding Co Ltd, Head Investments, Izmir, Turkey

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2020年 / 52卷

关键词：

Volatility spillover; Exchange rates; Multivariate GARCH; Intraday; FOREIGN-EXCHANGE MARKET; DYNAMIC RELATIONSHIP; OIL MARKET; RATES; BRICS; LINKAGES; RETURNS; CONTAGION; PRICES; CRISIS;

D O I：

10.1016/j.ribaf.2020.101182

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This research aims to detect the volatility linkages among various currencies during operating and non-operating hours of three major stock markets (Tokyo, London and New York) by employing bivariate VAR-BEKK-GARCH model in selected currency pairs. In particular, the aim is to analyze whether the major stock markets have a differential impact on volatility linkages in currency markets. The results indicate that volatility linkages in intraday are far stronger then in daily results. One remarkable result is that rather than major currencies, some minor and exotic currencies play a leading role in volatility transmission during trading hours of major stock markets.

引用

页数：27

共 74 条

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