Laborde, David and Rey, Serge (2001): Transmission internationale de la volatilité des prix d’actifs financiers : les relations entre les marchés français et américains de 1997 à 2000.
Download (229Kb) | Preview
This paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French stock prices, while changes in French and American stock prices influence significatively the euro/dollar exchange rate. Moreover, it appears that the volatilities of stock markets are linked (with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the euro/dollar volatility "Granger-cause" the rate of return on stocks.
|Item Type:||MPRA Paper|
|Original Title:||Transmission internationale de la volatilité des prix d’actifs financiers : les relations entre les marchés français et américains de 1997 à 2000|
|English Title:||Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period|
|Keywords:||Stock market, volatility, ARCH model, causality, SUR method, Euro/dollar|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Unnamed user with email email@example.com|
|Date Deposited:||14. Apr 2011 13:20|
|Last Modified:||15. Feb 2013 19:31|
BARTOV, E., G. M. BODNAR et A. KAUL (1996), “Exchange Rate Variability and the Riskness of U.S. Multinational Firms: Evidence from the Breakdown of the Bretton Woods System”, Journal of Financial Economics, 42, pp. 105-32.
BLANCHARD, O. et M. W. WATSON (1982), “Bubbles, Rational Expectations, and Financial Markets”, in P. WATCEL, ed., Crisis in the Economic and Financial Structure, Lexington Books.
BAUM, C. F., M. CAGLAYAN et J. T. BARKOULAS (2000), “Exchange Rate Uncertainty and Firm Profitability”, Boston College Working Paper, forthcoming in Journal of Macroeconomics.
CAMERER, C. (1989), “Bubbles and Fads in Asset Prices: A Review of Theory and Evidence”, Journal of Economic Surveys, 3, pp. 3-41.
CROCKETT, A. (1997), “The Theory and Practice of Financial Stability”, Essays in International Finance, n°203, April.
DARBAR, S. M. et J. P. DEB (1999), “Linkages Among Asset Markets in the United States: Tests in a Bivariate GARCH Framework”, IMF Working Paper 99/158.
DARRAT, A. F. et S. R. HAKIM (2000), “Exchange-Rate Volatility and Trade Flows in an Emerging Market: Some Evidence from a GARCH Process”, Savings and Development, n°3.
DAS, D. K. (1993), “Contemporary Trends in the International Capital Markets”, in D. K. DAS, ed., International Finance: Contemporary Issues, Routledge.
DUMAS, B. (1978), “The Theory of the Trading Firm Revisited”, Journal of Finance, 33, pp. 1019-29.
EDWARDS, S. et R. SUSMEL (2000), « Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s », AEA Meetings in Boston, January.
EDWARDS, S. et R. SUSMEL (2000), « Volatility Dependence and Contagion in Emerging Equity Markets », Journal of Development Economics, forthcoming.
FLOOD, R. et P. M. GARBER (1980), “Market Fundamentals versus Price-Level Bubbles: The Firsts Tests”, Journal of Political Economy, 88, pp. 745-70.
FROOT, K. A. et M. OBSTFELD (1991), “Intrinsic Bubbles: The Case of Stocks Prices”, The American Economic Review, 81, n°5, pp. 1189-1214.
GRANGER, C. W. J. (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, vol. 37, pp. 424-38.
GRANGER, C. W. J., B-N HUANG et C. W. YANG (2000), “A Bivariate Causality Between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu”, Quarterly Review of Economics and Finance.
GRUBEL, H. G. (1968), “Internationally Diversified Portfolio: Welfare Gains and Capital Flows”, American Economic Review, dec., pp. 1299-1314.
HUANG, B-N, C. W. YANG et J. HU (2000), “Causality and Cointegration of Stock Markets Among the United States, Japan, and the South China Growth Triangle”, International Review of Financial Analysis, 9, pp. 281-97.
JANSEN, D. W. (1989) “Does Inflation Uncertainty Affect Output Growth?” The Federal Reserve Bank of Saint Louis Review, July-August, pp.43-54
KING, M., E. et S. WADHWANI (1990), “Transmission of Volatility Between Stock Markets”, The Review of Financial Studies, 3, n°1, pp. 5-33.
KING, M., E. SANTANA et S. WADHWANI (1994), “Volatility and Links Between National Stock Markets”, Econometrica, 62, n°4, pp. 901-33.
KNEESHAW, J. T. (1995), “Non-Financial Sector Balance Sheets in The Monetary Policy Transmission Mechanism”, in Financial Structure and the Monetary Policy Transmission Mechanism, Basle, BIS, pp. 1-58.
MISHKIN, F. S. (1991), “Anatomy of a Financial Crisis”, NBER Working Paper n° 3934.
PERRON, P. (1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Variables”, Journal of Econometrics, vol. 80, pp. 355-385.
RAMCHAND, L. et R. SUSMEL (1998), “Volatility and Cross Correlation Across Major Stock Markets”, Journal of Empirical Finance, 5, pp. 397-416.
SHAPIRO, A. (1974), “Exchange Rate Changes, Inflation and the Value of the Multinational Corporation”, Journal of Finance, 30, pp. 485-502.
SCHWERT, G. W. et P. J. SEGUIN (1990), “Heteroskedasticity in Stock Returns”, The Journal of Finance, 14, n°4, pp. 1129-55.
SUSMEL, R. (2000), “Switching Volatility in International Equity Markets”, International Journal of Economics and Finance
TIROLE, J. (1985), “Asset Bubbles and Overlapping Generations”, Econometrica, 53, pp. 1499-1528.