search query: @freeterm Volatility spillovers / total: 1
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| Author: | Kanas, A. |
| Title: | Volatility spillovers between stock returns and exchange rate changes: International evidence |
| Journal: | Journal of Business Finance and Accounting
2000 : APR/MAY, VOL. 27:3, p. 447-467 |
| Index terms: | Exchange rates Stock returns Volatility STOCK MARKETS Foreign investment Mathematical models Theories |
| Freeterms: | EGARCH Volatility spillovers |
| Language: | eng |
| Abstract: | The purpose of this paper is to investigate the interdependence of stock returns and exchange rate changes within the same economy. We consider six industrialised countries, namely the US, the UK, Japan, Germany, France and Canada. The results are of interest to individual investors, to institutions such as pension funds, which diversify their portfolios through international equity investment, and to multinational corporations. |
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