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Regime linkages between the Mexican currency market and emerging equity markets

Kanas, Angelos (2005) Regime linkages between the Mexican currency market and emerging equity markets. Economic Modelling, 22 (1). pp. 109-125. ISSN 0264-9993. (doi:10.1016/j.econmod.2004.05.003) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41156)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1016/j.econmod.2004.05.003

Abstract

This paper explores the issue of volatility regime linkages between the Mexican currency market and six emerging equity markets, namely, the markets of Mexico, Brasil, Argentina, Hong Kong, Hungary, and Thailand. We find evidence of regime dependence between the Mexican currency market and each one of these equity markets. On the basis of regime-dependent correlation coefficients, our results are interpreted as evidence of interdependence rather than contagion. For the equity markets of Brasil, Argentina, and Hong Kong, the dependence may be attributed to regime causality from the Mexican currency market. There is no evidence that the domestic currency market in Brasil, Argentina, and Hong Kong exercises a regime causal effect on the corresponding equity market, thereby suggesting that the causal effect to these equity markets does arise from the Mexican currency market and not from the domestic currency market. © 2004 Elsevier B.V. All rights reserved.

Item Type: Article
DOI/Identification number: 10.1016/j.econmod.2004.05.003
Uncontrolled keywords: Causality, Dependence, Emerging equity markets, Markov switching, Mexican currency crisis
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 14:42 UTC
Last Modified: 16 Nov 2021 10:16 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41156 (The current URI for this page, for reference purposes)

University of Kent Author Information

Kanas, Angelos.

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