Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316516 
Year of Publication: 
2016
Citation: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 20 [Issue:] 4 [Year:] 2016 [Pages:] 519-544
Publisher: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Abstract: 
This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-quantilogram recently proposed by Han et al. (2016). Considering various quantile ranges, we investigate various spillover effects between two markets. Our findings show that there exists an asymmetric bi-directional spillover between two markets and the interdependence between two markets implies that one market has significant predictive power on the other.
Subjects: 
Quantile
Cross-Quantilogram
Spillover
Foreign Exchange Market
Stock Market
JEL: 
C12
C22
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





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