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This paper investigates the linkages between returns both in foreign exchange and stock markets, and uncertainties in two markets using daily data for the period of 16 July 2004 to 30 June 2014 in Nepalese economy. Four hypotheses are tested about how uncertainty influences the stock index and exchange rates. From the empirical results, a bivariate EGARCH-M model is the best to explain the volatility in the two markets. There is a negative relationship from the exchange rates return to stock price return. Empirical results do provide strong empirical confirmation that negative effect of stock index uncertainty and positive effect of exchange rates uncertainty on average stock index. GARCH-in-mean variables in AR modeling are significant and shows that there is positive effect of exchange rates uncertainty and negative effect of stock index uncertainty on average exchange rates. Stock index shocks have longer lived effects on uncertainty in the stock market than exchange rates shock have on uncertainly in the foreign exchange market. The effect of the last period’s shock, volatility is more sensitive to its own lagged values.
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참고문헌 (43)
참고문헌 신청
Aloui, R. / 2011 / Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? / Journal of Banking and Finance 35:130~141
Apergis, N. / 2001 / Asymmetric Cross-Market Volatility Spillovers:Evidence from Daily Data on Equity and Foreign Exchange Markets / Manchester School 69(Supplement):81~96
Baillie, Richard T. / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasticity / Journal of Econometrics, Elsevier 74(1):3~30
Bartlett, M. S / 1946 / On the theoretical specification of sampling properties of autocorrelated time series / Journal of the Royal Statistical Society B8:27~41
Bierens, H. J. / 1993 / Testing stationarity and trend stationarity against the unit root hypothesis / Econometric Reviews 12(1):1~32
Apergis, N. / 2001 / Asymmetric Cross-Market Volatility Spillovers:Evidence from Daily Data on Equity and Foreign Exchange Markets / Manchester School 69(Supplement):81~96
Baillie, Richard T. / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasticity / Journal of Econometrics, Elsevier 74(1):3~30
Bartlett, M. S / 1946 / On the theoretical specification of sampling properties of autocorrelated time series / Journal of the Royal Statistical Society B8:27~41
Bierens, H. J. / 1993 / Testing stationarity and trend stationarity against the unit root hypothesis / Econometric Reviews 12(1):1~32
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