Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model

Hung, Ngo Thai

doi:10.1177/0972150918811713

Cited by 26 publications

(21 citation statements)

References 60 publications

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“…The dynamic conditional correlation (DCC)-GARCH models have been used in many studies (Chkili and Nguyen, 2014;Sensoy and Sobaki, 2014;Moore and Wang, 2014;Wong, 2017;Yang, 2017). The objective of this methodology is to "address the issues of the return interrelatedness and volatility spillovers between the two financial markets" (Hung, 2019;Xie et al, 2020).…”

Section: Dcc-fiaparch Methodologymentioning

confidence: 99%

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

Zaiane

Jrad

2020

IJEFI

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The paper investigates the dynamic linkages between exchange rate (against US dollar) and the stock market (local currency) of Tunisia from January 2004 to April 2017. In particular, the paper tries to answer if there are any correlations between these variables and how they move in high volatile periods. By using a VEC model and applying the techniques of Granger Causality test, we conclude the existence of a unidirectional relationship between the two variables (from stock prices to exchange rate). Due to persistent long memory and the presence of the asymmetric effect in both markets, we estimate the dynamic correlations between these variables using DCC-FIAPARCH model. Results reveal that volatility shocks create abrupt changes in the dynamic correlations. However, this effect is only short term and do not sustain between consecutive high volatility regimes. Thus, policymakers and investors do not need to be concerned about long run contagion effects. Accordingly, financial managers can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolio mainly by predicting the path of the exchange rate.

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Section: Dcc-fiaparch Methodologymentioning

confidence: 99%

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

Zaiane

Jrad

2020

IJEFI

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“…The globalization and integration of international markets have become increasingly worldwide because of the development of technology and financial deregulations (Hung, 2018). More importantly, integrated financial markets have many benefits for investors, like a decrease in transaction cost, an increase in investment and economic growth.…”

Section: Introductionmentioning

confidence: 99%

Co-movements between Bitcoin and other asset classes in India

Hung

2021

JIBR

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Purpose This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in India Design/methodology/approach This paper aims to cast light on the dynamic linkages between Bitcoin prices and other conventional asset classes in India by using the wavelet transform frameworks, which can allow us to analyze components of time series without losing the information. To do that, the techniques used with the data set include wavelet-based covariance, correlation, coherence spectrum, continuous power spectrum and Granger causality test. Findings The findings of the study suggest that interrelationships between Bitcoin and the key financial asset returns are statistically significant at low, medium and high frequencies. This study also finds the existence of the unidirectional connectedness between Bitcoin the other assets in India. Practical implications The outcome of the analysis calls for substantial policy implications for investors, portfolio management in India. This research on the existence of the interconnectedness between Bitcoin and other conventional asset classes in a specific country context, India can, therefore, make a significant contribution to the contemporary debate about the speculative nature of the cryptocurrencies. It casts light on whether Bitcoin provides any diversification and risk management benefits for Indian, as well as global investors. Originality/value To the best of the author’s knowledge, this is the first paper investigating the interrelatedness between Bitcoin and key conventional asset classes in India. This research makes methodological advancements by using the wavelet coherence transform. The findings provide empirical bases from which to deal with issues regarding hedging purposes and optimal portfolio allocation for an increasing number of investors in the Indian context. Therefore, the main contribution of this study to related literature in this field is significant.

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“…There are several kinds of methodologies to capture the volatility spillover effects. For instance, Hung (2018) employs multivariate EGARCH model to explore the volatility transmissions among foreign exchange markets in CEE countries. Kanas (2000) also uses the EGARCH model to investigate the interdependence of stock returns and exchange rates within the same economy.…”

Section: Introductionmentioning

confidence: 99%

An analysis of CEE equity market integration and their volatility spillover effects

Hung

2019

EJMBE

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Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

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Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model

Cited by 26 publications

References 60 publications

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

The Dynamic Linkages Between Stock Market and Foreign Exchange Market: Evidence From an Emerging Market

Co-movements between Bitcoin and other asset classes in India

An analysis of CEE equity market integration and their volatility spillover effects

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