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Title: Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility: GARCH Model
Authors: Abdelkadir BESSEBA
Keywords: Returns Volatility
Exchange Rate Fluctuations
Issue Date: 2017
Series/Report no.: Number 17 2017 Foreign Sec;
Abstract: This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility. For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model). Stock market returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the stock market returns.
Description: Revue El Bahith
ISSN: 1112-3613
Appears in Collections:numéro 17 2017 foreign sec

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