Price Discovery and Spillover Effect between Currency Futures Market and Spot Market-Comparing Developing Country with Developed Country

2014 ◽  
Vol 22 (2) ◽  
pp. 193-221
Author(s):  
Xing Qun Xue ◽  
Sae Woon Park ◽  
Hee Ho Kim
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Emerging Market ◽  
Spillover Effect ◽  
Spot Market ◽  
Future Market ◽  
Volatility Spillover ◽  
Developed Country ◽  
Foreign Exchange Intervention ◽  
Volatility Spillover Effect

This study examines the volatility spillover effect and forward pricing effect between futures and spot markets, using the daily data of January 1988~April 2013 and Bounds test, ARDL model, DCC-GARCH model and the new method of spillover index calculation. In particular, the comparison between the developed and emerging markets will shed a light on a difference between the efficiencies of the two groups of markets. Our results show that the volatility spillover effect in the developed market was less in magnitude, compared to that effect in the emerging market. The causal influence from the future market to the spot market was greater in the developed market than in the emerging markets. This indicates that the foreign exchange markets (future and spot both) were much more efficient in the developed markets than in the emerging markets. This also implies very fruitful guides for the foreign exchange intervention policy, including signaling effect, portfolio effects, and direct and indirect intervention effects.

Research on volatility spillover effect between foreign exchange and stock market based on computer simulation multi resolution analysis

2021 ◽  
pp. 1-11
Author(s):  
Ping Zhang ◽  
Shiwei Nan Wang
Keyword(s):  
Computer Simulation ◽  
Exchange Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Spillover Effect ◽  
Volatility Spillover ◽  
Multi Resolution Analysis ◽  
Resolution Analysis ◽  
Volatility Spillover Effect

In order to analyze the volatility spillover effect between foreign exchange and stock market, this paper adopts the wavelet multi-resolution analysis method of computer simulation. Firstly, aiming at the problem of high and low frequency oscillation and exchange rate de-noising, we adopts the generalized autoregressive conditional heteroskedasticity (GARCH) model to carry out the oscillation correction and exponential modification of the exchange rate denoising signal based on wavelet multi-resolution, and carries out the corresponding decomposition and fitting combined with the wavelet multi-resolution of the state transition GARCH. Then, through the computer simulation of the modified wavelet multi-resolution analysis, this paper studies the volatility spillover effect between the foreign exchange market and the stock market from different scales, so as to explore the simultaneous research from the time domain and frequency domain. The empirical results show that the low-frequency signals of RMB exchange rate volatility (RMB-ERV) and stock price volatility (SPV) have co-integration relationship. It is unique in that the volatility spillover effect in different trading cycles is inconsistent: in the short term, it is mainly manifested in the volatility spillover from the stock market (VS-SM) to the foreign exchange market (VS-FEM); and with the extension of the trading cycle, it shows both sides of effects on the VS.

scholarly journals Analysis of meat price volatility and volatility spillovers in Finland

2020 ◽  
Vol 66 (No. 2) ◽  
pp. 84-91
Author(s):  
Marwa Ben Abdallah ◽  
Maria Fekete Farkas ◽  
Zoltan Lakner
Keyword(s):  
Price Level ◽  
Risk Mitigation ◽  
Spillover Effect ◽  
Significant Risk ◽  
Price Volatility ◽  
Poultry Meat ◽  
Volatility Spillover ◽  
Negative Effects ◽  
Volatility Spillovers ◽  
Volatility Spillover Effect

Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products. A persistent volatility in prices causes continued uncertainty in the market. Higher price volatility is to be mitigated by higher management costs and the higher cost of risk mitigation is often converted into higher producer prices. The aim of this paper is to investigate the price volatility of producer and consumer meat prices and to capture the volatility spillover along the Finnish meat supply chain. The Generalised Autoregressive Conditional Heteroskedasticity – Baba, Engle, Kraft and Kroner (GARCH-BEKK) model is applied to analyse shocks and volatilities of the prices and to estimate whether the price volatility is flowing from the first price level (producer) to the second price level (consumer), using monthly price indices. An asymmetric volatility spillover effect was detected in the poultry meat and a unidirectional, volatility spillover effect, from consumer to producer, is observed for pork prices. The findings of this study could serve as a tool for forecasting meat producer and consumer prices, which could assist the Finnish government with endorsing policy options to alleviate the price volatility impact, to protect both consumers and producers from its negative effects.

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