Please use this identifier to cite or link to this item: https://kkbsrs.kku.ac.th/jspui/handle/123456789/268
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dc.contributor.authorKamonchai, Rujirarangsan-
dc.contributor.authorKanchana, Sethanan-
dc.contributor.authorSurachai, Chancharat-
dc.date.accessioned2022-01-17T08:15:16Z-
dc.date.available2022-01-17T08:15:16Z-
dc.date.issued2020-
dc.identifier.issn08580855-
dc.identifier.urihttps://kkbsrs.kku.ac.th/jspui/handle/123456789/268-
dc.description.abstractThis 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.en_US
dc.description.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-en_US
dc.language.isoenen_US
dc.publisherABAC Journal Assumption Universityen_US
dc.subjectcausalityen_US
dc.subjectcointegrationen_US
dc.subjectconnectednessen_US
dc.subjectVolatility spilloveren_US
dc.titleThe Relationship Between Stock Market And Exchange Rate With Dynamic Volatility Spillover: Evidence From Asia-Pacific Regionen_US
dc.typeArticleen_US
dc.email.authorcsurac@kku.ac.then_US
dc.skill.authorFinanceen_US
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