Title: The Correlation between Fx Rate Volatility and Stock Exchange Returns Volatility: An Emerging Markets Overview
Abstract: This paper examines the relationship between the volatilities of equity indexes returns and FX rates for a set of emerging countries. We study the sensitivity of sector indexes volatility to FX rates volatility of local currencies with respect to the U.S. Dollar, the British Pound, and the Japanese Yen. Our empirical results largely support the hypothesis of a positive transmission mechanism between volatilities in equity and FX rates markets.
Publication Year: 2006
Publication Date: 2006-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 16
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