scholarly journals Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets

2011 ◽  
Author(s):  
Walid Ben Omrane ◽  
Christian Hafner
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Macroeconomic News ◽  
Exchange Markets

scholarly journals Macroeconomic news surprises and volatility spillover in foreign exchange markets

2014 ◽  
Vol 48 (2) ◽  
pp. 577-607 ◽  
Author(s):  
Walid Ben Omrane ◽  
Christian Hafner
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Macroeconomic News ◽  
Exchange Markets

scholarly journals The Sign Switch Effect of Macroeconomic News in Foreign Exchange Markets

2013 ◽  
Author(s):  
Walid Ben Omrane ◽  
Tanseli Savaser
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Macroeconomic News ◽  
Exchange Markets

Volatility Spillover in Foreign Exchange Markets

Paradigm ◽  
2015 ◽  
Vol 19 (2) ◽  
pp. 137-151 ◽  
Author(s):  
Rajni Kant Rajhans ◽  
Anuradha Jain
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Exchange Markets

Examining Volatility Spillover Between Foreign Exchange Markets and Stock Markets of Countries such as BRICS Countries

2021 ◽  
pp. 097215092110205
Author(s):  
Dharmendra Singh ◽  
M. Theivanayaki ◽  
M. Ganeshwari
Keyword(s):  
South Africa ◽  
Stock Market ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Exchange Market ◽  
Currency Market ◽  
Brics Countries ◽  
Exchange Markets

The objective of this article is to examine the volatility spillover effect between the foreign exchange market and the stock market of Brazil, Russia, India, China and South Africa (BRICS) countries along with Japan as the developed country in the region, affecting the BRICS countries. Generalized Autoregressive Conditionally Heteroscedastic (GARCH) (1,1) method is used to study the volatility between the stock market and the foreign exchange market in selected countries, and asymmetric model, that is, Exponential Generalized Autoregressive Conditional Heteroscedasticity—EGARCH (1,1) is also used to investigate the presence of leverage effects in both stock market and foreign exchange market in selected countries. GARCH findings suggest a two-way volatility spillover between the stock market and foreign exchange markets for India, China and South Africa. In BRICS countries, volatility spillover from the currency market to the stock market is seen as more evident and robust as compared to spillover from the stock market to the currency market. A positive asymmetry in spillover is also observed from the foreign exchange market to the stock market. The findings of the study may provide valuable information to investors for decision-making in international portfolio investment and also for economic policymakers for their financial stability perspective.

scholarly journals Volatility spillover effect between oil prices and foreign exchange markets

2021 ◽  
Vol 38 ◽  
pp. 100712
Author(s):  
Zartashia Hameed ◽  
Khuram Shafi ◽  
Anum Nadeem
Keyword(s):  
Foreign Exchange ◽  
Spillover Effect ◽  
Oil Prices ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Exchange Markets ◽  
Volatility Spillover Effect

scholarly journals RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 120 ◽  
Author(s):  
Fengming Qin ◽  
Junru Zhang ◽  
Zhaoyong Zhang
Keyword(s):  
Financial Markets ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Stock Markets ◽  
Spillover Effects ◽  
Policy Implications ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Exchange Markets ◽  
China And Japan

This study examines empirically the volatility spillover effects between the RMB foreign exchange markets and the stock markets by employing daily returns of the Chinese RMB exchange rates and the stock markets in China and Japan during the period in 1998–2018. We find evidence that there exist co-volatility effects among the financial markets in China and Japan, and the volatility of RMB exchange rates contribute to the co-volatility spillovers across the financial markets. Reversely, the return shock from the stock markets can also generate co-volatility spillover to the foreign exchange markets. The bidirectional relationship reveals that both the fundamental hypothesis and the investor-induced hypothesis are valid. Our estimates also show that the spillover effects led by the stock market in Japan are stronger than that from the foreign exchange markets and the Chinese stock markets, implying that market with higher accessibility has greater spillover effects onto other markets. We also found that the average co-volatility spillover effects among the RMB exchange markets and the stock markets in Japan and China are generally negative. These findings have important policy implications for risk management and hedging strategies.

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