Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/62875
Title: Volatility transmission between stock and foreign exchange markets: a connectedness analysis
Authors: Fernández Rodríguez, Fernando 
Sosvilla Rivero,Simón Javier 
UNESCO Clasification: 530716 Teoría monetaria
Keywords: Mercado financiero
Policy Uncertainty
Financial Stress
Rate Exposure
Riesgo, et al
Issue Date: 2019
Journal: Applied economics (Print) 
Abstract: This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.
URI: http://hdl.handle.net/10553/62875
ISSN: 0003-6846
DOI: 10.1080/00036846.2019.1683143
Source: Applied Economics[ISSN 0003-6846]
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