Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis

Xuan Hung Do, Robert Darren Brooks, Sirimon Treepongkaruna

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis vs. non-crisis). Interestingly, our empirical results support a negative and bidirectional realized skewness spill-over effect between stock and FX markets in emerging regions. Overall, our analyses emphasize that it is important to account for the informational transmission through volatility and skewness in financial markets, especially during the turbulent periods.
Original languageEnglish
Pages (from-to)24 - 37
Number of pages14
JournalGlobal Finance Journal
Volume28
DOIs
Publication statusPublished - 2015

Cite this

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title = "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis",
abstract = "We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis vs. non-crisis). Interestingly, our empirical results support a negative and bidirectional realized skewness spill-over effect between stock and FX markets in emerging regions. Overall, our analyses emphasize that it is important to account for the informational transmission through volatility and skewness in financial markets, especially during the turbulent periods.",
author = "Do, {Xuan Hung} and Brooks, {Robert Darren} and Sirimon Treepongkaruna",
year = "2015",
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language = "English",
volume = "28",
pages = "24 -- 37",
journal = "Global Finance Journal",
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publisher = "Elsevier",

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Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis. / Do, Xuan Hung; Brooks, Robert Darren; Treepongkaruna, Sirimon.

In: Global Finance Journal, Vol. 28, 2015, p. 24 - 37.

Research output: Contribution to journalArticleResearchpeer-review

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AU - Brooks, Robert Darren

AU - Treepongkaruna, Sirimon

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N2 - We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis vs. non-crisis). Interestingly, our empirical results support a negative and bidirectional realized skewness spill-over effect between stock and FX markets in emerging regions. Overall, our analyses emphasize that it is important to account for the informational transmission through volatility and skewness in financial markets, especially during the turbulent periods.

AB - We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis vs. non-crisis). Interestingly, our empirical results support a negative and bidirectional realized skewness spill-over effect between stock and FX markets in emerging regions. Overall, our analyses emphasize that it is important to account for the informational transmission through volatility and skewness in financial markets, especially during the turbulent periods.

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DO - 10.1016/j.gfj.2015.11.003

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JO - Global Finance Journal

JF - Global Finance Journal

SN - 1044-0283

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