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

See all articles by Ihsan Erdem Kayral

Ihsan Erdem Kayral

Konya Food and Agriculture University

Semra Karacaer

Hacettepe University

Date Written: August 2, 2017

Abstract

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

Suggested Citation

Kayral, Ihsan Erdem and Karacaer, Semra, Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies' Stock Market Volatilities (August 2, 2017). Journal of Applied Finance & Banking, Vol. 7(5), p. 75-101, 2017. Available at SSRN: https://ssrn.com/abstract=3011255

Ihsan Erdem Kayral (Contact Author)

Konya Food and Agriculture University ( email )

Meram
Konya
Turkey

Semra Karacaer

Hacettepe University ( email )

Ankara
Turkey

Register to save articles to
your library

Register

Paper statistics

Downloads
34
Abstract Views
250
PlumX Metrics