Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence
使用双变量EGARCH模型，研究美国、英国、日本、德国、法国和加拿大六个工业化国家股票收益与汇率变化之间的波动溢出效应，发现除德国外，股票收益对汇率变化存在对称的波动溢出，且自1987年10月以来有所增强。
We investigate interdependencies between stock returns and exchange rate changes for six industrialised countries, namely the US, the UK, Japan, Germany, France and Canada, by testing for volatility spillovers using a bivariate EGARCH model. Volatility spillovers from stock returns to exchange rate changes are found for all countries except Germany. These spillovers are symmetric in nature. No evidence is found of volatility spillovers from exchange rate changes to stock returns for any country. Spillovers from stock returns to exchange rate changes have increased since October 1987. This finding is consistent with the notion that international financial markets have become increasingly integrated.