Please use this identifier to cite or link to this item: http://localhost:8080/xmlui/handle/123456789/3538
Full metadata record
DC FieldValueLanguage
dc.contributor.authorDharmendra, Singh-
dc.contributor.authorM, Theivanayaki-
dc.contributor.authorM, Ganeshwari-
dc.date.accessioned2023-09-15T05:06:23Z-
dc.date.available2023-09-15T05:06:23Z-
dc.date.issued2021-06-23-
dc.identifier.urihttps://doi.org/10.1177/09721509211020543-
dc.description.abstractThe objective of this article is to examine the volatility spillover effect between the foreign exchange market and the stock market of Brazil, Russia, India, China and South Africa (BRICS) countries along with Japan as the developed country in the region, affecting the BRICS countries. Generalized Autoregressive Conditionally Heteroscedastic (GARCH) (1,1) method is used to study the volatility between the stock market and the foreign exchange market in selected countries, and asymmetric model, that is, Exponential Generalized Autoregressive Conditional Heteroscedasticity—EGARCH (1,1) is also used to investigate the presence of leverage effects in both stock market and foreign exchange market in selected countries. GARCH findings suggest a two-way volatility spillover between the stock market and foreign exchange markets for India, China and South Africa. In BRICS countries, volatility spillover from the currency market to the stock market is seen as more evident and robust as compared to spillover from the stock market to the currency market. A positive asymmetry in spillover is also observed from the foreign exchange market to the stock market. The findings of the study may provide valuable information to investors for decision-making in international portfolio investment and also for economic policymakers for their financial stability perspective.en_US
dc.language.isoen_USen_US
dc.publisherSage Journalen_US
dc.titleEXAMINING VOLATILITY SPILLOVER BETWEEN FOREIGN EXCHANGE MARKETS AND STOCK MARKETS OF COUNTRIES SUCH AS BRICS COUNTRIESen_US
dc.typeArticleen_US
Appears in Collections:International Journals



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.