Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis |
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| Affiliation: | 1. Finance Discipline, UTS Business School, University of Technology Sydney, Australia;2. Department of Econometrics and Business Statistics, Monash University, Australia;3. Accounting and Finance, UWA Business School, The University of Western Australia, Australia;1. University of Alaska Fairbanks, 303 Tanana Loop, St. 201, Fairbanks, AK 99775, USA;2. East Carolina University, Department of Finance, 3127 Bate Building, Greenville, NC 27858-4353, USA;1. Rawls College of Business, Texas Tech University, Lubbock, TX 79409-2101, United States;2. College of Business, Zayed University, P. O. Box 19282, Dubai, United Arab Emirates;1. University of Salamanca (IME), Campus Miguel de Unamuno (Edif. F.E.S.), 37007 Salamanca, Spain;2. Universidad de los Andes, School of Management, Bogotá, Colombia;1. Department of Economic and Regional Development, Panteion University, 136 Syngrou Av., Athens 176 71, Greece;2. Department of Business Administration, Hellenic Open University, Aristotelous 18, Patra 26 335, Greece;3. Department of Accounting and Finance, Technological Educational Institute of Crete, Iraklio 71 004, Greece |
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| Abstract: | We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis vs. non-crisis). Interestingly, our empirical results support a negative and bidirectional realized skewness spill-over effect between stock and FX markets in emerging regions. Overall, our analyses emphasize that it is important to account for the informational transmission through volatility and skewness in financial markets, especially during the turbulent periods. |
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