scholarly journals Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism

2015 ◽  
Vol 1 (1) ◽  
Author(s):  
Zhengde Xiong ◽  
Lijun Han
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Spillover Effect ◽  
Volatility Spillover ◽  
Rmb Exchange Rate ◽  
Exchange Rate Mechanism ◽  
Volatility Spillover Effect ◽  
Rate Mechanism

VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION

2019 ◽  
Vol 14 (03) ◽  
pp. 1950015
Author(s):  
QASIM RAZA SYED ◽  
WASEEM SHAHID MALIK ◽  
BISHARAT HUSSAIN CHANG
Keyword(s):  
Financial Markets ◽  
Federal Reserve ◽  
Balance Sheet ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The Other ◽  
Volatility Spillover ◽  
Monthly Basis ◽  
Volatility Spillovers ◽  
Volatility Spillover Effect

This paper examines the volatility spillover effect of the balance sheet of Federal Reserve (Fed) on the financial and goods markets of Pakistan, India and Bangladesh (collectively known as the Indo-Pak region). Diagonal BEKK-GARCH methodology is used to capture the volatility spillover effects on Indo-Pak economies. This study took data from the year 2004 to year 2019 on a monthly basis. The findings of the paper describe that there are volatility spillovers from Fed’s balance sheet to the financial markets of Pakistan, India and Bangladesh economies. On the other hand, there is also evidence of volatility spillovers from the balance sheet of Fed to the goods markets of these economies.

scholarly journals Tracing Return and Volatility Spillover Effect between Exchange Rate and Pakistan Stock Exchange Index

2021 ◽  
Vol 5 (1) ◽  
pp. 193-216
Author(s):  
Kashif Habeeb ◽  
Ghulam Ghouse ◽  
Asad Ali Ashraf
Keyword(s):  
Exchange Rate ◽  
Financial Market ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Volatility Spillover ◽  
Policy Makers ◽  
Policy Frameworks ◽  
Effective Policy ◽  
Alternative Methodology ◽  
Volatility Spillover Effect

The volatility spillover is broadly measured as the transmission of variability from one financial market to other markets. This study explores the spillover effect between the newly emerged index of the Pakistan stock exchange (PSX) and exchange rate by using the newly proposed alternative methodology by Ghouse et al. (2019) and GARCH model. Furthermore, the index under study is more concise in its composition than other readily used indices. The study finds shreds of evidence for the bidirectional spillover effect between PSX and exchange rate, which will be helpful for central policy makers and markets players in designing effective policy frameworks. Keywords: ARDL; GARCH; spillover effect

scholarly journals Dynamic Spillover and Hedging among Carbon, Biofuel and Oil

2020 ◽  
Author(s):  
Yeonjeong Lee ◽  
Seong-Min Yoon
Keyword(s):  
Financial Markets ◽  
Global Economy ◽  
Spillover Effect ◽  
Cost Effective ◽  
Pollutant Emission ◽  
Volatility Spillover ◽  
Oil Markets ◽  
Rapid Spread ◽  
Hedging Portfolio ◽  
Volatility Spillover Effect

With the rapid spread of carbon trading in the global economy, the interactions of prices between carbon (or clean/renewable energy) and traditional fossil energies such as coal and oil have raised growing attention, but little research have discussed their dynamic volatility spillover and time-varying correlation. The purpose of this study is to investigate these issues, for the weekly data of EUA futures, Biofuel and Brent oil prices from 25 October 2009 to 5 July 2020. We employ the VAR-GARCH model with the BEKK specification. Our results are summarized as follows. At first, we identified the sudden changes and the volatility persistence in the three markets, and also confirmed that the volatility of the markets has changed significantly over time. Secondly, we find that there are a weak volatility spillover effect among the three markets, while a strong spillover effect between the EUA and Brent oil markets. Lastly, in financial markets, the EUA can be used as a hedging portfolio for the Biofuel and Brent oil markets. These results can help investors to well compose their portfolios and manage their investment risks, and help potential pollutant emission sources to join in carbon market in a cost-effective way.

Financial Markets and European Monetary Cooperation: The Lessons of the 1992-93 Exchange Rate Mechanism Crisis

1999 ◽  
Vol 65 (3) ◽  
pp. 650
Author(s):  
Anup Wadhawan ◽  
Willem H. Buiter ◽  
Giancarlo Corsetti ◽  
Paolo A. Pesenti
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
European Monetary ◽  
Monetary Cooperation ◽  
Exchange Rate Mechanism ◽  
Rate Mechanism

IS THERE TWO-WAY ASYNCHRONOUS INFORMATION TRANSMISSION BETWEEN STOCK MARKETS AND STOCK MESSAGE BOARDS?

2012 ◽  
Vol 11 (04) ◽  
pp. 777-792
Author(s):  
DAYONG DONG ◽  
LIAOLIAO LI ◽  
DAN YANG ◽  
HUILIN ZHU ◽  
QILIN CAO ◽  
...  
Keyword(s):  
Decision Making ◽  
Financial Markets ◽  
Information Transmission ◽  
Stock Returns ◽  
Information Exchange ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Message Boards ◽  
Volatility Spillover Effect

This study investigates asynchronous information transmission between stock returns and abnormal posting volume on the online stock message boards in China. Based on a robust GARCH model, the study finds that there are significant two-way volatility spillover effects: a positive volatility spillover effect from stock returns to abnormal message posting volume, and a negative volatility spillover effect from abnormal message posting volume to stock returns. The information exchange and communication on stock message boards have a certain role in stabilizing financial markets and improving investor's decision making on financial markets.

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.

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