Σύνδεση μεταξύ των χρηματιστηριακών τιμών και των συναλλαγματικών ισοτιμιών : εμπειρικά στοιχεία από τις ΗΠΑ, το Ηνωμένο Βασίλειο και την Ιαπωνία
Linkages between stock prices and exchange rates : empirical evidence from USA, UK and Japan
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Keywords
Συναλλαγματικές ισοτιμίες ; Χρηματιστηριακές τιμές ; S&P 500 ; FTSE 100 ; NIKKEI 225 ; Διάχυση μεταβλητότητας ; Διάχυση τιμών ; Υπόδειγμα VAR ; Διμετάβλητο EGARCH υπόδειγμα ; Exchange rate ; Stock prices ; Volatility spillover ; Price spillover ; VAR model ; Bivariate EGARCH modelAbstract
This paper attempts to define the relationship between stock and foreign exchange markets in New York, London and Tokyo. For the empirical part of the research we use S&P 500 for the New York stock exchange, FTSE 100 for the London stock exchange and NIKKEI 225 for the Tokyo stock exchange, while the exchange rate series are stated in US dollars per local currency. Data in this paper consists of weekly closing exchange rates and stock market indices and the sample period runs from 08/01/1999 to 25/12/2015. The tests employed on the paper were Dickey Fuller’s unit root test, the existence, or not, of price spillover between stock prices and exchange rates, Granger causality test and the existence, or not, of volatility spillover between stock prices and exchange rates. The results showed that there exists volatility spillover from stock prices to foreign exchange rates for all countries and from the foreign exchange rates to the stock markets only for Tokyo.
Postgraduate Studies Programme
Οικονομική και Επιχειρησιακή ΣτρατηγικήDepartment
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής ΕπιστήμηςNumber of pages
82Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές