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

      Choi, Daniel F.S.; Fang, Victor; Fu, Tian Yong
      Link
       www.macrothink.org
      Citation
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      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.
      Permanent Research Commons link: https://hdl.handle.net/10289/3988
      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.
      Date
      2009
      Type
      Journal Article
      Publisher
      Macrothink Institute
      Collections
      • Management Papers [1153]
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