期刊名称：The International Journal of Applied Economics and Finance
印刷版ISSN：1991-0886
电子版ISSN：2077-2149
出版年度：2011
卷号：5
期号：3
页码：185-199
DOI：10.3923/ijaef.2011.185.199
出版社：Asian Network for Scientific Information
摘要：The inquiry into the dynamic relationship between the stock market and the foreign exchange market has increasingly become relevant for researchers, investors and policy makers, particularly after the global financial turmoil of 2007-08. The present study, using a multivariate Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) model, contributes to the literature by bringing into focus, the volatility contagion among the financial markets around the financial crisis of 2007-2008. The study covers the period from January 2006 to December 2010 and considers three sub-periods namely pre-crisis, crisis and post crisis periods. To explore the nature of volatility spillover around the crisis, the study selects three exchange rates, namely, Rupee-US Dollar; Rupee-Pound, Rupee-Yen and four related stock markets namely, BSE SENSEX, DJ 30, FTSE 100 and Nikkei 225. The results indicate presence of volatility spillover but no asymmetric impact between stock to exchange rates and vice-versa during the three sub-periods. Own market innovation plays a decisive role in foreign exchange market than the cross market innovation emanating from stock markets during pre-crisis and crisis period. However, both own and cross innovations have become insignificant during post-crisis period. The study thus reveals the changing nature of volatility contagion between the financial markets and explores its possible impact on investment and policy making.
