Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211913 
Year of Publication: 
2002
Series/Report no.: 
Bank of Finland Discussion Papers No. 9/2002
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationships between major currency and equity markets.Using a multivariate GARCH framework, we examine conditional cross-autocorrelations between pairs of national equity markets and related exchange rates.This provides a parsimonious way of testing mean-volatility relationships in currency and equity markets and re-examining the robustness of relationships between equity markets, while controlling for exchange rate effects.We find that the relationship between currency and equity markets is bi-directional, significant, persistent, and independent of the relationship strictly between equity markets, and that it is better captured by the conditional second moments
Subjects: 
international asset pricing
exchange rate determination
equity markets
relationships between currency and equity markets
JEL: 
G12
G14
G15
F31
Persistent Identifier of the first edition: 
ISBN: 
951-686-779-0
Document Type: 
Working Paper

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