Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies' Stock Market Volatilities
Journal of Applied Finance & Banking, Vol. 7(5), p. 75-101, 2017
27 Pages Posted: 2 Aug 2017
Date Written: August 2, 2017
In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30 VAR models. According to the analysis, the fact that the US stock market returns cause stock market volatilities is revealed to be the most prominent result in the whole period. In the 2000-2013 period and the 2008-2013 interval, covering the term following the Global Financial Crisis of 2008, there was a remarkable increase in causality.
Keywords: Stock Market Volatilities, Exchange Rates, Financial Markets, Granger Causality/Block Exogeneity Wald Test, Variance Decomposition Analysis
JEL Classification: G15, F37, F31, C58
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