TY - JOUR
T1 - Volatility spillovers and determinants of contagion
T2 - Exchange rate and equity markets during crises
AU - Leung, Henry
AU - Schiereck, Dirk
AU - Schroeder, Florian
PY - 2017/2/1
Y1 - 2017/2/1
N2 - We study the hourly volatility spillover between the equity markets of New York (DJI), London (FTSE 100) and Tokyo (N225) and their exchange rates (USD, EUR, GBP and JPY) for the period of 2001 through 2013 covering the non-crises period, the global financial crisis and the euro debt crisis. First, we find a general increase in spillover between the equity and exchange rate markets during the crisis periods. Second, pure contagion (attributable to irrational investors’ behavior) and fundamental contagion (measured by macroeconomic fundamentals) explains the increased spillover between the FTSE 100, N225 to the DJI during the global financial crisis and from the exchange rate markets to the DJI during the euro debt crisis.
AB - We study the hourly volatility spillover between the equity markets of New York (DJI), London (FTSE 100) and Tokyo (N225) and their exchange rates (USD, EUR, GBP and JPY) for the period of 2001 through 2013 covering the non-crises period, the global financial crisis and the euro debt crisis. First, we find a general increase in spillover between the equity and exchange rate markets during the crisis periods. Second, pure contagion (attributable to irrational investors’ behavior) and fundamental contagion (measured by macroeconomic fundamentals) explains the increased spillover between the FTSE 100, N225 to the DJI during the global financial crisis and from the exchange rate markets to the DJI during the euro debt crisis.
KW - Contagion
KW - Equity market
KW - Exchange rate market
KW - Financial crisis
KW - Volatility spillover
UR - http://www.scopus.com/inward/record.url?scp=85007241895&partnerID=8YFLogxK
U2 - 10.1016/j.econmod.2016.12.011
DO - 10.1016/j.econmod.2016.12.011
M3 - Article
AN - SCOPUS:85007241895
SN - 0264-9993
VL - 61
SP - 169
EP - 180
JO - Economic Modelling
JF - Economic Modelling
ER -