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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Hunter, J | - |
dc.contributor.author | Menla Ali, F | - |
dc.date.accessioned | 2014-12-12T16:33:21Z | - |
dc.date.available | 2014-12-12T16:33:21Z | - |
dc.date.issued | 2014-01-06 | - |
dc.identifier.citation | Caporale, G.M., Hunter, J. and Menla Ali, F. (2014) 'On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010', International Review of Financial Analysis, 33, 87-103. doi: 10.1016/j.irfa.2013.12.005. | en_US |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/9508 | - |
dc.description.abstract | This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated producing evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in the US and in the opposite direction in the euro area and Japan, whilst there is evidence of bidirectional feedback in Switzerland and Canada. The results of the time-varying correlations also show that the dependence between the two variables has increased during the recent financial crisis. These findings imply limited opportunities for investors to diversify their assets during this period. | en_US |
dc.format.extent | 87 - 103 | - |
dc.language.iso | en | en_US |
dc.publisher | International Review of Financial Analysis | en_US |
dc.subject | causality-in-variance | en_US |
dc.subject | cointegration | en_US |
dc.subject | exchange rates | en_US |
dc.subject | stock prices | en_US |
dc.title | On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010 | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.irfa.2013.12.005 | - |
dc.relation.isPartOf | International Review of Financial Analysis | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | 1.04 MB | Unknown | View/Open |
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