Examining Volatility Spillover Between Foreign Exchange Markets and Stock Markets of Countries such as BRICS Countries

Pages: 097215092110205 - 097215092110205
Published: Jun 23, 2021
Abstract
The objective of this article is to examine the volatility spillover effect between the foreign exchange market and the stock market of Brazil, Russia, India, China and South Africa (BRICS) countries along with Japan as the developed country in the region, affecting the BRICS countries. Generalized Autoregressive Conditionally Heteroscedastic (GARCH) (1,1) method is used to study the volatility between the stock market and the foreign exchange...
Paper Details
Title
Examining Volatility Spillover Between Foreign Exchange Markets and Stock Markets of Countries such as BRICS Countries
Published Date
Jun 23, 2021
Pages
097215092110205 - 097215092110205
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