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 The volatility spillover effect of the European Union (EU) carbon financial market

2021 ◽  
Vol 282 ◽  
pp. 124394
Author(s):  
Shihong Zeng ◽  
Jingmin Jia ◽  
Bin Su ◽  
Chunxia Jiang ◽  
Guowang Zeng
Keyword(s):  
European Union ◽  
Financial Market ◽  
Spillover Effect ◽  
Volatility Spillover ◽  
The European Union ◽  
Volatility Spillover Effect

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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