Projects per year
Abstract
© 2015 Elsevier Inc. We examine the linkages both within and between stock and foreign exchange (FX) markets via three higher moments of return distributions (volatility, skewness and kurtosis). We find that FX market linkages (in the 2nd and 4th moments) are relatively more prominent in developed markets. Cross-asset markets in emerging countries are more likely to be negatively linked through the 3rd moment but they are positively associated via the 2nd and 4th moments in developed markets indicating common concerns regarding tail risks in the former. Finally, cross-asset market linkages are of a similar magnitude to intra-asset-market linkages within emerging markets but the latter are stronger in developed markets.
Original language | English |
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Pages (from-to) | 167-185 |
Number of pages | 19 |
Journal | International Review of Economics and Finance |
Volume | 42 |
Early online date | 2 Dec 2015 |
DOIs | |
Publication status | Published - Mar 2016 |
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Projects
- 1 Finished
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Financial Crises, Volatility and Sovereign Ratings : Do Ratings Really Matter When They Are Needed Most?
Brooks, R. & Treepongkaruna, S.
1/01/10 → 31/12/12
Project: Research