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Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics

This study examines the pattern of volatility transmission and asymmetric effects between the stock and foreign exchange market among the BRICs (Brazil, Russia, India and China) after the recognition on BRICs concept in 2003. By using weekly data across the study period 1st January 2003 until 31st D...

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Bibliographic Details
Main Author: Khoo, Wai Hoe
Format: Final Year Project Report
Language:English
Published: Universiti Malaysia Sarawak, (UNIMAS) 2011
Subjects:
HA Statistics
HB Economic Theory
HG Finance
Online Access:http://ir.unimas.my/id/eprint/6446/4/Khoo%20full.pdf
http://ir.unimas.my/id/eprint/6446/
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spelling my.unimas.ir.64462023-08-11T09:17:41Z http://ir.unimas.my/id/eprint/6446/ Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics Khoo, Wai Hoe HA Statistics HB Economic Theory HG Finance This study examines the pattern of volatility transmission and asymmetric effects between the stock and foreign exchange market among the BRICs (Brazil, Russia, India and China) after the recognition on BRICs concept in 2003. By using weekly data across the study period 1st January 2003 until 31st December 2010, the results reveal that the incongruities of the volatility transmission structure exist among the BRICs. The evidence was also found that the BRICs markets’ volatility was driven by the negative innovations (bad news). Generally, the investment portfolio diversification and hedging strategy within the stock and foreign exchange market in BRICs shall be considered. Universiti Malaysia Sarawak, (UNIMAS) 2011 Final Year Project Report NonPeerReviewed text en http://ir.unimas.my/id/eprint/6446/4/Khoo%20full.pdf Khoo, Wai Hoe (2011) Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics. [Final Year Project Report] (Unpublished)
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HA Statistics
HB Economic Theory
HG Finance
spellingShingle HA Statistics
HB Economic Theory
HG Finance
Khoo, Wai Hoe
Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics
description This study examines the pattern of volatility transmission and asymmetric effects between the stock and foreign exchange market among the BRICs (Brazil, Russia, India and China) after the recognition on BRICs concept in 2003. By using weekly data across the study period 1st January 2003 until 31st December 2010, the results reveal that the incongruities of the volatility transmission structure exist among the BRICs. The evidence was also found that the BRICs markets’ volatility was driven by the negative innovations (bad news). Generally, the investment portfolio diversification and hedging strategy within the stock and foreign exchange market in BRICs shall be considered.
format Final Year Project Report
author Khoo, Wai Hoe
author_facet Khoo, Wai Hoe
author_sort Khoo, Wai Hoe
title Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics
title_short Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics
title_full Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics
title_fullStr Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics
title_full_unstemmed Volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics
title_sort volatility transmission and asymmetric effect between stock and foreign exchange markets among the brics
publisher Universiti Malaysia Sarawak, (UNIMAS)
publishDate 2011
url http://ir.unimas.my/id/eprint/6446/4/Khoo%20full.pdf
http://ir.unimas.my/id/eprint/6446/
_version_ 1775627167923699712
score 13.160551

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