Please use this identifier to cite or link to this item: https://kkbsrs.kku.ac.th/jspui/handle/123456789/268
Title: The Relationship Between Stock Market And Exchange Rate With Dynamic Volatility Spillover: Evidence From Asia-Pacific Region
Authors: Kamonchai, Rujirarangsan
Kanchana, Sethanan
Surachai, Chancharat
Author's Skill: Finance
Author's Email: csurac@kku.ac.th
Subjects: causality
cointegration
connectedness
Volatility spillover
Fiscal Year: 2020
Publisher: ABAC Journal Assumption University
Abstract: This study investigates the dynamic relationship between the stock market and exchange rates, using daily data from 1994 to 2018. Johansen’s cointegration analysis shows significant long-run relationships for Hong Kong. The Granger causality tests show a significant bi-directional and uni-directional causality in the Asia-Pacific region, except for China. Results also show volatility spillovers in the UK, Germany, and the USA, which persistently influence the stock market and exchange rates in the Asia-Pacific region. During crisis, the stock market is better in capturing total volatility spillovers than the exchange rate.
URI: https://www.scopus.com/inward/record.uri?eid=2-s2.0-
URI: https://kkbsrs.kku.ac.th/jspui/handle/123456789/268
ISSN: 08580855
Appears in Collections:Finance

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