Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises

This paper investigates return transmission, volatility spillovers, and dynamic correlations between the Tokyo Stock Exchange (TSE) Real Estate Investment Trust (REIT) index, the Nikkei 225 index, and the yen/dollar exchange rate. As a result, we find many new findings and these all show our significant contributions as follows. First, there is return transmission from the Nikkei 225 to the TSE REIT index. Second, there is bidirectional return transmission between the Nikkei 225 and the yen/dollar exchange rate. Third, there are bidirectional volatility spillovers between the Nikkei 225 and the TSE REIT index. Fourth, there are volatility spillovers from the Nikkei 225 to the yen/dollar exchange rate. Fifth, dynamic conditional correlations (DCCs) between TSE REIT returns and Nikkei 225 returns are not low. Moreover, DCCs between Nikkei 225 returns and yen/dollar exchange rate changes are not high. Furthermore, DCCs between TSE REIT returns and yen/dollar exchange rate changes are quite low. These our new findings shall be useful for not only deepening our understanding of financial markets but also our related future research.

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Modeling Exchange Rate and Nigerian Deposit Money Market Dynamics Using Trivariate form of Multivariate GARCH Model

Asian Journal of Economics Business and Accounting ◽

10.9734/ajeba/2019/v10i230103 ◽

2019 ◽

pp. 1-18

Author(s):

Deebom, Zorle Dum ◽

Tuaneh, Godwin Lebari

Keyword(s):

Exchange Rate ◽

Garch Model ◽

Money Market ◽

Multivariate Garch ◽

Market Dynamics ◽

Volatility Clustering ◽

Volatility Spillovers ◽

Multivariate Garch Model ◽

The Difference ◽

Student’S T

The risks associated with exchange rate and money market indicators have drawn the attentions of econometricians, researchers, statisticians, and even investors in deposit money banks in Nigeria. The study targeted at modeling exchange rate and Nigerian deposit banks money market dynamics using trivariate form of multivariate GARCH model. Data for the period spanning from 1991 to 2017 on exchange rate (Naira/Dollar) and money market indicators (Maximum and prime lending rate) were sourced for from the central bank of Nigeria (CBN) online statistical database. The study specifically investigated; the dynamics of the variance and covariance of volatility returns between exchange rate and money market indicators in Nigeria were examine whether there exist a linkage in terms of returns and volatility transmission between exchange rate and money market indicators in Nigeria and compared the difference in Multivariate BEKK GARCH considering restrictive indefinite under the assumption of normality and that of student’s –t error distribution. Preliminary time series checks were done on the data and the results revealed the present of volatility clustering. Results reveal the estimate of the maximum lag for exchange rate and money market indicators were 4 respectively. Also, the results confirmed that there were two co-integrating equations in the relationship between the returns on exchange rate and money market indicators. The results of the diagonal MGARCH –BEKK estimation confirmed that diagonal MGARCH –BEKK in students’-t was the best fitted and an appropriate model for modeling exchange rate and Nigerian deposit money market dynamics using trivariate form of multivariate GARCH model. Also, the study confirmed presence of two directional volatility spillovers between the two sets of variables.

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Equities and Commodities Comovements: Evidence from Emerging Markets

Global Economy Journal ◽

10.1515/gej-2017-0075 ◽

2018 ◽

Vol 18 (3) ◽

pp. 20170075 ◽

Cited By ~ 3

Author(s):

Maria E. de Boyrie ◽

Ivelina Pavlova

Keyword(s):

Emerging Markets ◽

Latin American ◽

Explanatory Power ◽

Precious Metals ◽

Equity Markets ◽

Investment Strategy ◽

Volatility Spillovers ◽

Developed Markets ◽

Financial Portfolios ◽

Index Investment

The financialization of commodities and their inclusion in financial portfolios as part of an investment strategy may result in higher correlations and volatility spillovers between commodity and equity markets. In this paper, we estimate the correlation between equity markets and commodities using the dynamic conditional correlation (DCC) model, while emphasizing the differences between emerging and developed markets co-movements with commodities. The results reveal that certain emerging markets, especially those in Asia, show a much lower level of co-movement with commodities than developed markets do, while Latin American equities exhibit a higher level of integration with commodities. Furthermore, it is found that both agricultural and precious metals commodities offer better diversification possibilities in the less developed markets. We also find that increases in the CBOE Volatility Index (VIX) are related to higher agriculture commodities-equities correlations, while commodity net index investment has limited explanatory power in our study.

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The Stochastic Character of Japanese Exchange Rates

10.51240/jibe.2004.1.5 ◽

2004 ◽

Vol 5 (1) ◽

pp. 77-90

Author(s):

Nikiforos Laopodis

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Exchange Rate Volatility ◽

Transmission Mechanism ◽

Good News ◽

Volatility Transmission ◽

Volatility Spillovers ◽

The Us ◽

Us Dollar ◽

Multivariate Exponential

The paper explores the stochastic character of six yen exchange rates with respect to the Canadian dollar, French franc, Italian lira, German mark, British pound and the US dollar for the 1973-2002 periods. The methodological design is the multivariate Exponential GARCH model, which is capable of capturing asymmetries in the exchange rate volatility transmission mechanism. The results point to significant reciprocal and positive volatility spillovers after the Plaza Accord of 1985. Furthermore, the finding of absence of asymmetry in the same period implies that bad and/or good news in a particular market positively and equally affects volatility in the next market.

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