دانلود رایگان مقاله نرخ ارز و بازار سهام در بحران و سرریز نوسانات

Abstract

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.

6. Conclusion

We analyze the volatility spillover effect between the DJI, FTSE 100 and N225 equity markets as well as their underlying exchange rates over the period 2001 through 2013 on an hourly basis. We use the Chow-Test to delineate the structural break between the times series of the global financial crisis and the euro debt crisis. The innovation of this paper involves investigating the determinants which explains contagion of volatility spillover between equity and exchange markets during the two crises. We examine whether investors’ behavior leads to irrational phenomena like financial panics (pure contagion) in excess of that implied by macroeconomic fundamentals (fundamental contagion). Our results show that equity markets exhibit significant positive volatility spillover (except between FTSE to N225) showing that the risk of equity markets from one market's closing period is transmitted to the next equity market's opening period. These results are in line with prior studies such as Lin et al. (1994) and confirm the meteor shower effect of Engle et al. (1990). In addition, we show that significant positive volatility spillover from exchange rates to equity markets exists (except JPY/USD to N225). The volatility of exchange rates is transmitted to the equity markets within one hour (except USD/EUR to DJI where it is transmitted within two hours). The findings indicate that the risk of exchange rates increases the risk in equity markets for our whole data sample, which is contrary to the results of Kansas (2000). We find that contagion between equity markets is explained by inflation and information asymmetry between investors in the global financial crisis and the euro crisis. It shows that irrational investors’ behavior could lead to financial panics in crises and the volatility spillover increases in excess of macroeconomic fundamentals. These results are consistent with Kodres and Pritsker (2002) and confirm the “pure contagion” theory.