The effect of capital flow on foreign exchange risk in emerging equity markets

• Main Authors: Min-ChihYen, 嚴敏之
• Other Authors: Tze-Shr Wang
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/38689390432625823150

碩士 === 國立成功大學 === 財務金融研究所 === 101 === This study examines effects of equity flows to volatility attributable to exchange rate fluctuations and correlations between US/local equity market return attributable to exchange rate fluctuations in emerging markets. Volatilities and correlations are obtained by applying DCC-GARCH model. Evidence presented in this paper indicates that conditional volatility attributable to exchange rate fluctuations are significantly positive for all countries which are 6 times greater than developed countries provided by Mun (2007); a higher exchange rate fluctuation has a marginally positive impact on the US/local equity market correlation. Connection between equity flows and conditional volatility attributable to exchange rate fluctuation are not obvious. Equity flows have a marginally positive impact on conditional correlations attributable to exchange rate fluctuations.