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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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.
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Field of Research
159999 - Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective
970115 - Expanding Knowledge in Commerce, Management, Tourism and Services
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