Volatility Spillovers between New Zealand  Stock Market Returns and Exchange Rate Changes before and after the 1997 Asian Financial Crisis

dc.contributor.author	Choi, Daniel F.S.
dc.contributor.author	Fang, Victor
dc.contributor.author	Fu, Tian Yong
dc.date.accessioned	2010-06-15T03:36:05Z
dc.date.available	2010-06-15T03:36:05Z
dc.date.issued	2009
dc.identifier.citation	Choi, D.F.S., Fang, V. & Fu, T.Y. (2009). Volatility Spillovers between New Zealand Stock Market Returns and Exchange Rate Changes before and after the 1997 Asian Financial Crisis. Asian Journal of Finance & Accounting, 1(2), 106-117.	en_NZ
dc.identifier.uri	http://hdl.handle.net/10289/3988
dc.description.abstract	Researchers in the last decade have been investigating the interdependence of stock returns and exchange rate changes within the same economy. Kanas (2000) and Yang and Doong (2004) find that for the G-7 countries, in general, the volatility of the stock market spills over to the exchange rate market but that volatility spillovers from the exchange rate market to the stock market are insignificant. Chen, Naylor, and Lu (2004) find that NZ individual firm returns are significantly exposed to exchange rate changes. This study complements their work by investigating the volatility spillover between the stock market and the foreign exchange market within the NZ economy.	en_NZ
dc.language.iso	en
dc.relation.uri	http://www.macrothink.org/journal/index.php/ajfa/article/view/140/292	en_NZ
dc.subject	New Zealand	en_NZ
dc.subject	EGARCH model	en_NZ
dc.subject	volatility spillover	en_NZ
dc.subject	Asian financial crisis	en_NZ
dc.title	Volatility Spillovers between New Zealand Stock Market Returns and Exchange Rate Changes before and after the 1997 Asian Financial Crisis	en_NZ
dc.type	Journal Article	en_NZ