Cuadernos de economía
versión On-line ISSN 0717-6821
MORALES, Lucía de las Nieves. Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries. Cuad. econ. [online]. 2008, vol.45, n.132, pp. 185-215. ISSN 0717-6821. http://dx.doi.org/10.4067/S0717-68212008000200002.
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do notfind eviderice ofvolatility transmission in the opposite direction.
Palabras llave : Stock Retums; Exchange Rates; Integration; Volatility spillovers; EGARCH modelling.