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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.

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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
Total pages 12
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
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