scholarly journals Exchange rates and stock markets in emerging economies: new evidence using the Quantile-on-Quantile approach

2021 ◽  
Vol 5 (1) ◽  
pp. 94-110
Author(s):  
Korhan Gokmenoglu ◽  
◽  
Baris Memduh Eren ◽  
Siamand Hesami ◽  
Keyword(s):  
Exchange Rates ◽  
Emerging Economies ◽  
Stock Markets ◽  
New Evidence

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

scholarly journals What Do Stock Markets Tell Us About Exchange Rates?

2014 ◽  
Author(s):  
Gino Cenedese ◽  
Richard Payne ◽  
Lucio Sarno ◽  
Giorgio Valente
Keyword(s):  
Exchange Rates ◽  
Stock Markets
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