| Summary: | 碩士 === 中原大學 === 國際貿易研究所 === 94 === This work investigates how volatility comovement and spillover effects interact with each other in Yen/Dollar FX markets of Tokyo, London, and New York. Using spot rate intraday returns from 1994 to 2003, it is found that there exists volatility comovement and spillover effects between Tokyo, London and New York markets.
After estimating the probability distributions of Dynamic Conditional Correlation between the three markets, some consistent conclusions associated with comovement and spillover were conducted. (i) Through DCC probability distribution by Tokyo and London, showing phenomena of high volatility accompany with high DCC value because of London’s dominant. (ii) The phenomena of DCC probability distribution by London and New York shows almost overlapping pattern. (iii) only New York has spillover effect to Tokyo’s variance, however, Tokyo does not have any impacts to New York’s variance, the high-DCC distribution is wider than low-DCC distribution. If we realize clearly on the most situations of DCC probability distribution, we can therefore reset our global investment portfolio and manage the latent risk.
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