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

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dc.contributor.advisorKotze, Kevinen_ZA
dc.contributor.authorVavli, Hakonen_ZA
dc.date.accessioned2015-01-01T12:40:46Z
dc.date.available2015-01-01T12:40:46Z
dc.date.issued2012en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis 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.identifier.apacitationVavli, H. (2012). <i>Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/10845en_ZA
dc.identifier.chicagocitationVavli, Hakon. <i>"Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2012. http://hdl.handle.net/11427/10845en_ZA
dc.identifier.citationVavli, 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.ris TY - Thesis / Dissertation AU - Vavli, Hakon AB - 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. DA - 2012 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2012 T1 - Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies TI - Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies UR - http://hdl.handle.net/11427/10845 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10845
dc.identifier.vancouvercitationVavli H. Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2012 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10845en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleSpillovers in the foreign exchange market a study of volatility and returns in emerging market currenciesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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