DYNAMIC CORRELATION BETWEEN STOCK RETURNS AND EXCHANGE RATE AND ITS DEPENDENCE ON THE CONDITIONAL VOLATILITIES - THE CASE OF SEVERAL EASTERN EUROPEAN COUNTRIES

被引：10

作者：

Zivkov, Dejan ^{[1
]}

Njegic, Jovan ^{[1
]}

Pavlovic, Jasmina ^{[1
]}

机构：

[1] Novi Sad Business Sch, Vladimira Perica Valtera 4, Novi Sad 21000, Serbia

来源：

BULLETIN OF ECONOMIC RESEARCH | 2016年 / 68卷

关键词：

Dynamic Conditional Correlation; East European markets; exchange rate; stocks; rolling regression; MARKET; PRICES; CONTAGION; RISK; CAUSALITY;

D O I：

10.1111/boer.12059

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The objective of the paper is to determine whether the linkage between stock returns and exchange rates in several Eastern European countries was in accordance with the flow oriented model or the portfolio-balance approach. The dynamic interdependence between exchange rate and stock returns is determined using the Dynamic Conditional Correlation (DCC) framework. The results pointed to a negative dynamic correlation which is in line with portfolio-balance approach. Rolling regression revealed that conditional correlation was affected primarily by conditional volatility of currency, while the impact of stock returns volatility was negligible.

引用

页码：S28 / S41

页数：14

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