Lucia Morales

Volatility Spillovers between Equity and Currency Markets: Evidence from Major Latin American Countries

This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after th

The Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence from Four Transition Economies

This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. Our findings show that there is no evidence of stock prices and exchange rates moving together either in the long-run or in the short-run, with the exception of Slovakia, where cointegrating relationships were found. In terms of our causality analysis our results show a unidirectional causal relationship form the exchange rates to the stock prices in the case of Hungary, Poland and Czech Republic. There is also evidence of causality from the Hungarian exchange rate to the United Kingdom stock prices, from the Polish exchange rates to the United Kingdom stock prices, from the Czech Republic exchange rate to the United Kingdom stock prices and from the Slovakian exchange rates to the United Kingdom stock prices. And finally we also found evidence of causality from the stock prices to the stock prices in the case of Hungary to United Kingdom, United Kingdom to Poland, and the United States to Poland.

Volatility Spillovers on Precious Metals Markets: the Effects of the Asian Crisis

This paper investigates the nature of volatility spillovers between precious metals returns over the 1995July 2007 period. We analyzed daily closing values for precious metals data, we took the US

Volatility Spillovers Between Stock Returns and Foreign Exchange Rates: Evidence from Four Eastern European Countries

/Troy ounce for gold, the London Free Market Platinum price in US

Hong Kong Unrest and Implications for the Hang Seng Index

/Troy ounce, the London Free Market Palladium price in US

Lessons from the global financial crisis – the case of Mainland China and Hong Kong

/Troy once, and the Zurich silver price in US

A Reflection on the Use of ePortfolios in Business Studies Programmes

/kilogram. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of the precious metals markets during this crisis; we use GARCH and EGARCH modelling. The results show that there is clear evidence of volatility persistence between precious metals returns. In terms of volatility spillovers effects, the main findings are that there is evidence of volatility spillovers running in a bidirectional way in almost all the cases, with the exception of gold, that tend to generate effects in all the markets, but with little evidence in the case of the other precious metals influencing the gold market. Finally, the results from asymmetric spillover effects show that negative news have a stronger impact in these markets than positive news.

Volatility and Risk Management in European Electricity Futures Markets

This paper investigates the nature of volatility spillovers between stock returns and exchange rates changes for the Czech Republic, Hungary, Poland and Slovakia for the 1999-2006 period. We divide our sample in two sub period, prior to the introduction of the Euro as since the single currency has been introduced. We use an EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is non-existence of significant spillovers in these countries, what suggest the no existence of integration between these two financial markets. If we analyse the spillover effects from exchange rates to stock markets we found that the overall results is the lack of significant spillovers from exchange rate to stock returns. We also found that volatility in stock returns and exchange rates tends to decrease after the countries joined the European Union.

Volatility Analysis of Precious Metals Returns and Oil Returns

Abstract With the September 2014 ‘Umbrella Revolution’ in Hong Kong, China faced one of the biggest political challenges since the Tiananmen Square events. Beijing’s proposed electoral reform was perceived as a direct attack to democracy, and the ensuing protest triggered concerns amid local and international investors; the financial sector took the hardest hit, with stocks of companies exposed to the Hong Kong market facing significant losses. Volatility continued to increase to a seven-month high over worries that the student blockade in Hong Kong’s streets could drag on for longer than expected. The econometric-based analysis in this paper looks at the implications of the protest and its spillover effect on the Hang Seng Index with a focus on sectoral performance. The ultimate objective is to gain a better understanding of the impact of the protests on different stocks and sectors with the goal of identifying market vulnerability and potential volatility patterns.

Do Precious Metals Markets Influence Stock Markets

Abstract The analysis of the intertwined reactions of Hong Kong and Mainland China to the 2008 Global Financial Crisis is considered in this study through the lenses of their stock markets. The GARCH-based analysis of stock market performance over the period December 2011–December 2014 shows that trade and equity sectors were the sectors most affected by the global recession; volatility was prevalent on the Shanghai stock market, whereas volatility persistence characterised the Hong Kong stock market. The results also show that the two stock markets recovered quite quickly. Tight controls applied by the financial authorities helped ensure some stability during the crisis.