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Volatility spillovers between the European and South African foreign exchange markets

Niyitegeka, Olivier; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from … the euro to the rand during crisis and post-crisis periods. Further, increased volatility spillovers and time …This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro …

Persistent link: https://www.econbiz.de/10012215203

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

Persistent link: https://www.econbiz.de/10014501248

The Russian invasion of Ukraine and the exchange rate of the Polish zloty : a fallacy of monetary autonomy?

Borowski, Jakub; Jaworski, Krystian - In: International journal of management and economics 60 (2024) 1, pp. 33-45

volatility, which is likely to remain at play in the longer run. …

Persistent link: https://www.econbiz.de/10014503199

Impact of trading hours extensions on foreign exchange volatility : intraday evidence from the Moscow exchange

Frömmel, Michael; Kadioglu, Eyup - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23

hours extensions on volatility. During the sample period, the Moscow Exchange extended trading hours three times for the … implementations, various measures of historical and realized volatility are calculated for 5- and 15-min intraday intervals spanning a … period of three months both prior to and following trading hours extensions. Besides historical volatility measures, we also …

Persistent link: https://www.econbiz.de/10014364050

The impact of real exchange rates on real stock prices

Wong, Hock Tsen - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 262-276

Purpose - The study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia. Design/methodology/approach - This study uses the asymmetric...

Persistent link: https://www.econbiz.de/10014339120

Analysis of Indian foreign exchange markets : a multifractal detrended fluctuation analysis (mfdfa) approach

Datta, Radhika Prosad - In: International journal of empirical economics 3 (2024) 3, pp. 1-27

The objectives of this paper are to analyse the presence of multifractality in daily exchange rates of the US dollar (USD), British Pound (GBP), Euro (EUR), and Japanese Yen (JPY) relative to the Indian Rupee (INR) for a specific period (1999-2018) and to investigate the source of the observed...

Persistent link: https://www.econbiz.de/10015194278

Exchange rates and the global transmission of equity market shocks

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021

We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...

Persistent link: https://www.econbiz.de/10012549999

The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe

Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...

Persistent link: https://www.econbiz.de/10014500215

US dollar exchange rate elasticity of gold returns at different federal fund rate zones

Herley, Michael D.; Orłowski, Lucjan T.; Ritter, Mark A. - In: Economies : open access journal 12 (2024) 9, pp. 1-10

We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are state-dependent and asymmetric under different market conditions. State dependency hinges on different short-term interest rate zones. To prove this point, we determine three...

Persistent link: https://www.econbiz.de/10015073524

Dynamic impact of foreign exchange trading volume on foreign exchange volatility

Kang, Jong Woo; Cabaero, Carlos - 2025

Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of … volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange … rate volatility using hourly high-frequency data. The estimation results from ordinary least squares, fixed effects and the …

Persistent link: https://www.econbiz.de/10015194391