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dc.contributor.authorChoi, Daniel F.S.
dc.contributor.authorFang, Victor
dc.contributor.authorFu, Tian Yong
dc.date.accessioned2010-06-15T03:36:05Z
dc.date.available2010-06-15T03:36:05Z
dc.date.issued2009
dc.identifier.citationChoi, 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.urihttps://hdl.handle.net/10289/3988
dc.description.abstractResearchers 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.isoen
dc.publisherMacrothink Instituteen_NZ
dc.relation.urihttp://www.macrothink.org/journal/index.php/ajfa/article/view/140/292en_NZ
dc.subjectNew Zealanden_NZ
dc.subjectEGARCH modelen_NZ
dc.subjectvolatility spilloveren_NZ
dc.subjectAsian financial crisisen_NZ
dc.titleVolatility Spillovers between New Zealand Stock Market Returns and Exchange Rate Changes before and after the 1997 Asian Financial Crisisen_NZ
dc.typeJournal Articleen_NZ
dc.relation.isPartOfAsian Journal of Finance and Accountingen_NZ
pubs.begin-page106en_NZ
pubs.elements-id34979
pubs.end-page117en_NZ
pubs.issue2en_NZ
pubs.volume1en_NZ


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