MOHAMMED, Walid Abass (2021). Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. Journal of Risk and Financial Management, 14 (6). [Article]
Documents
28762:598273
PDF
jrfm-14-00270-v2 (7).pdf - Published Version
Available under License Creative Commons Attribution.
jrfm-14-00270-v2 (7).pdf - Published Version
Available under License Creative Commons Attribution.
Download (4MB) | Preview
Abstract
In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators.
More Information
Statistics
Downloads
Downloads per month over past year
Metrics
Altmetric Badge
Dimensions Badge
Share
Actions (login required)
View Item |