Stock and Currency Market Linkages: New Evidence from Realized Spillovers in Higher Moments

40 Pages Posted: 25 Aug 2011 Last revised: 5 May 2016

See all articles by Hung Xuan Do

Hung Xuan Do

Massey University, Albany campus; University of Technology, Sydney

Robert D. Brooks

Monash University; Financial Research Network (FIRN)

Sirimon Treepongkaruna

The University of Western Australia; Financial Research Network (FIRN)

Eliza Wu

The University of Sydney - Business School; Financial Research Network (FIRN)

Date Written: November 20, 2015

Abstract

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 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 is relatively stronger in developed markets.

Keywords: fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data

JEL Classification: C32, F31, G15

Suggested Citation

Do, Hung Xuan and Brooks, Robert Darren and Treepongkaruna, Sirimon and Wu, Eliza, Stock and Currency Market Linkages: New Evidence from Realized Spillovers in Higher Moments (November 20, 2015). International Review of Economics & Finance, Vol. 42, 167-185, 2016. Available at SSRN: https://ssrn.com/abstract=1913702 or http://dx.doi.org/10.2139/ssrn.1913702

Hung Xuan Do (Contact Author)

Massey University, Albany campus ( email )

Auckland
New Zealand
+64 92136160 (Phone)
+64 92136160 (Fax)

HOME PAGE: http://www.massey.ac.nz/massey/expertise/profile.cfm?stref=972450

University of Technology, Sydney ( email )

PO Box 123
Broadway, 2007
Australia

Robert Darren Brooks

Monash University ( email )

Wellington Road
Clayton, Victoria 3168
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Sirimon Treepongkaruna

The University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia
+61864887853 (Phone)
+61864881086 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Eliza Wu

The University of Sydney - Business School ( email )

University of Sydney
Darlington
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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