Open AccessInvestigation of volatility and spillover in foreign ex-change return in Indian Chinese & Malaysian market
Author(s) -
Amritkant Mishra
Publication year - 2017
Publication title -
international journal of accounting and economics studies
Language(s) - English
Resource type - Journals
ISSN - 2309-4508
DOI - 10.14419/ijaes.v5i2.8302
Subject(s) - volatility (finance) , foreign exchange market , spillover effect , economics , currency , monetary economics , autoregressive conditional heteroskedasticity , renminbi , exchange rate , liberian dollar , emerging markets , foreign exchange , international economics , business , financial economics , macroeconomics , finance
In this paper it is tried to make the comparison the foreign exchange return volatility in the three emerging economies of Asia. It is also endeavored to investigate the return co-movement and the volatility spillover between the foreign exchange markets of India, China and Malaysia with reference of US dollar, Indian Rupees, Chinese Yuan and Malaysian Ringgit in each other foreign exchange market to. The daily data have collected from Federal Reserve data base from April 2012 to March 2017. For analysis MGARCH model, the GARCH DCC as well as VAR model applied. The empirical result of volatility spillover effect shows that in Indian and Malaysian foreign exchange market the US dollar seems as shock transmitter. It also shows that the influence of US dollar in Chinese foreign exchange market is very low as compare to the Indian and Malaysian exchange rate market. In Chinese market Malaysian ringgit is dominant currency and it transmits the shocks to the US dollar. The conditional volatility result shows that among all the foreign exchange market, Indian market has high volatility return of foreign currency as compare to other market.