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Return and Volatility Spillovers Between the Foreign Exchange Market and the Australian all Ordinaries Index

Citation

Raghavan, MV and Dark, J, Return and Volatility Spillovers Between the Foreign Exchange Market and the Australian all Ordinaries Index, The IUP Journal of Applied Finance, 14, (1) pp. 41-48. ISSN 0972-6861 (2008) [Refereed Article]

Abstract

This paper uses a Vector Autoregressive GARCH (VAR-GARCH) model to examine the return and volatility spillover effects between the US dollar/Australian dollar (USD/AUD) exchange rate and the Australian All Ordinaries Index (AOI). The findings provide evidence of unidirectional return and volatility spillover effects from the USD/AUD to the AOI. These findings have important implications for investors when making optimal investment and hedging strategies.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Raghavan, MV (Dr Mala Raghavan)
ID Code:80711
Year Published:2008
Deposited By:Economics and Finance
Deposited On:2012-11-08
Last Modified:2014-10-29
Downloads:0

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