Document Type

Conference Paper

Rights

This item is available under a Creative Commons License for non-commercial use only

Publication Details

All China Economics Conference, Hong Kong, 18th.-20th. December, 2006.

Abstract

This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our main results indicate that since the Asian financial crises, there exists significant scope for investors and portfolio managers to diversify their assets between stocks and currencies in these markets. In particular, the lack of volatility spillovers between stock markets and exchange rates, and between exchange rates and stock markets in all countries, except Taiwan in the post crises period indicates that there is scope for investors to diversify their investments and to benefit from potential gains in the long run in this region.

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