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

 

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dc.contributor.advisor Kotze, Kevin en_ZA
dc.contributor.author Vavli, Hakon en_ZA
dc.date.accessioned 2015-01-01T12:40:46Z
dc.date.available 2015-01-01T12:40:46Z
dc.date.issued 2012 en_ZA
dc.identifier.citation Vavli, H. 2012. Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/10845
dc.description Includes bibliographical references. en_ZA
dc.description.abstract 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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Economics en_ZA
dc.title Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Economics en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image


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