Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism

Author:

Xiong Zhengde,Han Lijun

Funder

National Social Science Foundation of China

National Natural Science Foundation of China

Funding Project of Education Ministry for the Development of Liberal Arts and Social Sciences

Publisher

Springer Science and Business Media LLC

Subject

Management of Technology and Innovation,Finance

Reference18 articles.

1. Alaganar VT, Bhar R (2007) Empirical properties of currency risk in country index portfolios. Q Rev Econ Finance 47:159–174

2. Bodnar GM, Gentry WM (1993) Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA. J Int Money Finance 12(1):29–45

3. Branson WH (1983) Macroeconomic determinants of real exchange risk in managing foreign exchange risk. Cambridge University Press, Cambridge, pp 103–120

4. Brooks S, Gelman A (1998) General methods for monitoring convergence of iterative simulations. J Comput Graph Stat 82:470–488

5. Chang HL, Su CW, Lai YC (2009) Asymmetric price transmissions between the exchange rate and stock market in Vietnam. Int Res J Financ Econ 23:104–113

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