Exchange-Rate Volatility Spillovers in International Equity Markets

Adusei Jumah ； Robert M Kunst

《Advances in Investment Analysis and Portfolio Management》 2期 (2006/11) Pp. 173-198

https://doi.org/10.6291/AIAPM.2006.02.08

並列摘要

This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis can be used to appraise the need for hedging. Of the three examined stock indexes, the FTSE was found to be the only robust index, while the S&P 500 and the Nikkei indexes reacted to the dollar/yen exchange rates. The dollar/yen rate also improved risk prediction for the Standard & Poor futures, while the gains in forecasting from using bivariate models remained small otherwise.

並列關鍵字

Multivariate GARCH ； exchange rate ； equity markets ； volatility spillover ； causality

參考文獻

Fang, W., & S.M. Miller. (2002). Dynamic effects of currency depreciation on stock market returns during the Asian financial crises. Department of Economics Working Paper Series No. 2002-31, University of Connecticut.

Adler, M.,Dumas, B.(1983).International portfolio choice and corporation finance: A synthesis.Journal of Finance.38,925-984.

Akdogan, H.(1996).A suggested approach to country selection in internationall portfolio diversification.Journal of Portfolio Management.23,33-39.

Baba, Y.,Engle, R.F.,Kroner, K.F.,Kraft, D.(1992).Multivariate simultaneous generalized ARCH.ARCH. Economics Working Paper.(ARCH. Economics Working Paper).,未出版University of Arizona.

Bartov, E.,Bodnar, G.M.(1994).Firm valuation, earnings expectations, and the exchange-rate exposure effect.Journal of Finance.44,1755-1785.