Volatility Spillover between Stock Market and Foreign Exchange: Evidence from Emerging Countries

Student: Khayrulova Diana

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2017

The purpose of this study is to examine volatility spillover effect between stock market and foreign exchange in BRIC economies in the 2009-2017 period. EGARCH model was used. The results propose that bidirectional volatility spillover effect in Russia and Brazil and unidirectional spillover from stock market to foreign exchange in India. The analysis finds no evidence of spillover effects in case of China.

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