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- W3096432041 abstract "This study investigates the dynamic relationship between the stock market and exchange rates, using daily data from 1994 to 2018. Johansen’s cointegration analysis shows significant long-run relationships for Hong Kong. The Granger causality tests show a significant bi-directional and uni-directional causality in the Asia-Pacific region, except for China. Results also show volatility spillovers in the UK, Germany, and the USA, which persistently influence the stock market and exchange rates in the Asia-Pacific region. During crisis, the stock market is better in capturing total volatility spillovers than the exchange rate." @default.
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- W3096432041 date "2020-11-03" @default.
- W3096432041 modified "2023-09-26" @default.
- W3096432041 title "The Relationship Between Stock Market and Exchange Rate with Dynamic Volatility Spillover: Evidence from Asia-Pacific Region" @default.
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