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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
Dynamics Of Volatility Spillover Between Stock And Foreign Exchange
Market: Empirical Evidence From Central And Eastern European Countries |
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Authors: |
Ngo Thai Hung |
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Published in:
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(2018). ECMS 2018
Proceedings Edited by: Lars Nolle, Alexandra
Burger, Christoph Tholen,
Jens Werner, Jens Wellhausen European Council for
Modeling and Simulation. doi:
10.7148/2018-0005 ISSN:
2522-2422 (ONLINE) ISSN:
2522-2414 (PRINT) ISSN:
2522-2430 (CD-ROM) 32nd European Conference on Modelling and Simulation, Wilhelmshaven, Germany, May 22nd
– May 265h, 2018 |
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Citation
format: |
Ngo
Thai Hung (2018). Dynamics Of Volatility Spillover Between Stock And Foreign
Exchange Market: Empirical Evidence From Central And Eastern European
Countries, ECMS 2018 Proceedings Edited
by: Lars Nolle, Alexandra Burger, Christoph Tholen, Jens Werner,
Jens Wellhausen European Council for Modeling and
Simulation. doi:
10.7148/2018-0027 |
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DOI: |
https://doi.org/10.7148/2018-0027 |
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Abstract: |
We use an Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) model to investigate the
asymmetric volatility spillover effects between the stock market and foreign
exchange market in Hungary, Poland, the Czech Republic, Romania and Croatia
for the pre- and post- financial crisis periods. The whole of the study
period covers from 1st April 2000 to 29th September 2017. The results reveal
bidirectional volatility spillover between stock and foreign exchange market
of Hungary in all periods and Poland in the post-crisis period,
unidirectional volatility spillover in Croatia in the pre-crisis period and
from the stock market to exchange market in the Czech Republic during two
periods. In the post-crisis period, the two financial markets show the
non-presence of the volatility spillover between them in Croatia.
Furthermore, empirical results from our analysis provide valuable insights to
investors, multinational companies and economic policymakers regarding
financial decision making. |
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text: |
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