Template-type: ReDIF-Paper 1.0  
Author-Name: Amalia Morales-Zumaquero
Author-Email: amalia@uma.es
Author-Workplace-Name: Department of Economic Theory and History, Universidad de Málaga. Instituto Complutense de Estudios Internacionales 
	(ICEI). Universidad Complutense de Madrid.
Author-Name: Simón Sosvilla-Rivero
Author-Email: sosvilla@ccee.ucm.es
Author-Workplace-Name: Instituto Complutense de Estudios Internacionales (ICEI). Universidad Complutense de Madrid.
Title: Volatility spillovers between foreing-exchange and stock markets
Abstract: This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in 
	the seven economies which concentrate the majority of foreign exchange transactions (i.e. United Kingdom, Euro area, Australia, Swiss, 
	Canada, United Kingdom and Japan), using daily data, during the period 1990 to 2015 and during the pre-global and post-global financial 
	crisis periods. To that end, we employ two econometric methodologies: the C-GARCH methodology by Engle and Lee (1999) and the SVAR 
	framework (Sohel Azad et al., 2015). Results suggest that: (i) permanent and transitory components of the conditional variance exhibit 
	several well-known peaks in volatilities; (ii) the long-run volatility relationships are stronger than the short-run linkages 
	volatility with a reinforcement during the post-global financial crisis period; (iii) the presence of intra-spillovers and 
	inter-spillovers increases substantially during the post-global financial crisis period and (iv) in all samples, the stock markets play 
	a dominant role in the transmission of long-run and short-run volatility, except for in the period after the Global Financial Crisis, 
	where the foreign-exchange markets are the main long-run volatility triggers.
Keywords:
 Stock markets; Exchange rates; Market spillovers; Component-GARCH model; Longterm volatility; Short-term volatility
Creation-Date: 2017
Length: 52 pages
Number: 1702
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/wpaper17-02.txt
File-URL: https://eprints.ucm.es/id/eprint/41371/1/WP%2002-17.pdf
File-Format: Application/pdf
File-Function: Full text
Handle: RePEc:ucm:wpaper:1702