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題名 | Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries= |
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作者 | Yang, Sheng-Yung; Doong, Shuh-Chyi; |
期刊 | International Journal of Business and Economics |
出版日期 | 20040800 |
卷期 | 3:2 民93.08 |
頁次 | 頁139-153 |
分類號 | 563.54 |
語文 | eng |
關鍵詞 | Exchange rate; Stock price; Bivariate EGARCH model; Asymmetric volatility spillover; |
英文摘要 | This paper explores the nature of the mean and volatility transmission mechanism between stock and foreign exchange markets for the G-7 countries. Empirical evidence supports the asymmetric volatility spillover effect and shows that movements of stock prices will affect future exchange rate movements, but changes in exchange rates have less direct impact on future changes of stock prices. The implication is particularly important to international portfolio managers when devising hedging and diversification strategies for their portfolios. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。