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Volatility spillover between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis Choi, Daniel F. S., Fang, Victor and Fu, Tian Yong 2009, Volatility spillover between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis, Asian journal of finance and accounting, vol. 1, no. 2, pp. 106-117. Attached Files Name Description MIMEType Size Downloads fang-volatilityspillovers-2009.pdf Published version application/pdf 296.11KB 157 Title Volatility spillover between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis Author(s) Choi, Daniel F. S. Fang, Victor Fu, Tian Yong Journal name Asian journal of finance and accounting Volume number 1 Issue number 2 Start page 106 End page 117 Publisher Macrothink Institute, Inc. Place of publication Las Vegas, Nev. Publication date 2009 ISSN 1946-052X Keyword(s) New Zealand EGARCH model volatility spillover Asian financial crisis Summary Researchers in the last decade have been investigating the interdependence of stock returns and exchange rate changes within the same economy. Kanas (2000) and Yang and Doong (2004) find that for the G-7 countries, in general, the volatility of the stock market spills over to the exchange rate market but that volatility spillovers from the exchange rate market to the stock market are insignificant. Chen, Naylor, and Lu (2004) find that NZ individual firm returns are significantly exposed to exchange rate changes. This study complements their work by investigating the volatility spillover between the stock market and the foreign exchange market within the NZ economy. Notes Reproduced with the kind permission of the copyright owner Language eng Field of Research 159999 - Commerce, Management, Tourism and Services not elsewhere classified Socio Economic Objective 970115 - Expanding Knowledge in Commerce, Management, Tourism and Services HERDC Research category C1.1 Refereed article in a scholarly journal Copyright notice ©2009, The Author Persistent URL http://hdl.handle.net/10536/DRO/DU:30042539 Document type: Journal Article Collections: School of Accounting, Economics and Finance Open Access Collection Related Links Link Description Connect to published version Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au. Versions Version Filter Type Tue, 21 Feb 2012, 10:22:02 EST Fri, 24 Feb 2012, 08:06:02 EST Fri, 24 Feb 2012, 08:13:28 EST Fri, 24 Feb 2012, 08:18:52 EST Mon, 27 Feb 2012, 08:17:08 EST Filtered Full Access Statistics: 66 Abstract Views, 157 File Downloads  -  Detailed Statistics Created: Tue, 21 Feb 2012, 10:22:02 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.