Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence

By A. Kanas. 2000

290 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5b98ee9f604f2a8658623c124d6945ba4da79f36

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Citations in the corpus

Stock Market and Foreign Exchange Market in India: Are they Related? (2004, background): “Representative examples are Morley and Pentecost (2000), Bahmani-Oskooee and Sohrabian (1992), Ibrahim (2000), Kanas (2000) etc.”
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, unknown): “The causal link often leads to volatility spillovers, which tend to increase the idiosyncratic risk that diminishes gains from portfolio diversification (Kanas, 2001).”
Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2014, methodology): “As we are concerned by the relationships between stock and FX markets in the BRICS countries, the MS-VAR model developed by Krolzig (1997) is a suitable approach.”
Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets (2014, background): “The volatility spillovers between stock returns and changes in exchange rates are examined in the work of Kanas (2000).”
Do cryptocurrencies and traditional asset classes influence each other? (2019, background): “While connectedness of stock markets has been lively topic of research in the past decades (Kanas, 2000; Yang and Doong, 2004; Mensi, Beljid, Boubaker, and Managi, 2013), there is no study examining connectedness between cryptocurrencies and traditional assets.”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, background): “Kanas (2000) found positive volatility spillover effects from stock returns to exchange rate changes for all the G-7 except Germany.”
Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan (2009, background): “…(1988), Smith (1992), Bodnar and Gentry (1993), Dropsy and Nazarian-Ibrahimi (1994), Choi and Prasad (1995), Prasad and Rajan (1995), Ajayi and Mougoue (1996), Fang and Loo (1996), Abdalla and Murinde (1997), Kwon et al. (1997), Kanas (2000), and Bhattacharya and Mukherjee (2003), among others.”
EFFECT OF EXCHANGE RATE VOLATILITY ON THE GHANA STOCK EXCHANGE (2008, result): “On the issue of causation, most of the studies had mixed results (Morley and Pentecost (2000); Bahmani-Oskooee and Sohrabian (1992); Ibrahim (2000); Kanas (2000).”