Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies

Includes bibliographical references. === This paper provides a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest tha...

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Bibliographic Details
Main Author:	Vavli, Hakon
Other Authors:	Kotze, Kevin
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2015
Subjects:	Economics
Online Access:	http://hdl.handle.net/11427/10845

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-108452020-10-06T05:11:25Z Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies Vavli, Hakon Kotze, Kevin Economics Includes bibliographical references. This paper provides a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest that the spillover index of exchange rate returns have increased steadily over time and that it exhibits moderate reactions to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) display evidence of considerable reactions to economic events and no apparent change in the trend. 2015-01-01T12:40:46Z 2015-01-01T12:40:46Z 2012 Master Thesis Masters MCom http://hdl.handle.net/11427/10845 eng application/pdf University of Cape Town Faculty of Commerce School of Economics
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Economics
spellingShingle	Economics Vavli, Hakon Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
description	Includes bibliographical references. === This paper provides a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest that the spillover index of exchange rate returns have increased steadily over time and that it exhibits moderate reactions to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) display evidence of considerable reactions to economic events and no apparent change in the trend.
author2	Kotze, Kevin
author_facet	Kotze, Kevin Vavli, Hakon
author	Vavli, Hakon
author_sort	Vavli, Hakon
title	Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
title_short	Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
title_full	Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
title_fullStr	Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
title_full_unstemmed	Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
title_sort	spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
publisher	University of Cape Town
publishDate	2015
url	http://hdl.handle.net/11427/10845
work_keys_str_mv	AT vavlihakon spilloversintheforeignexchangemarketastudyofvolatilityandreturnsinemergingmarketcurrencies
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Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies

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