International Equity Index and Currency Futures: Commodity Currencies or Emerging Versus Developed Markets?

Research output: Contribution to journalArticle

Abstract

Equity index futures in both emerging and developing markets that are net commodity exporters are strongly linked to their respective currency futures markets. Unconditional correlations among equity and currency futures are the highest for these net basic materials producers in both emerging and developed markets. Granger causality tests also indicate that stock market returns are more strongly related to currency futures returns for commodity-exporting countries. Additionally, conditional correlations among currency and equity futures returns are the strongest for commodity-producing countries in both emerging and developed economies. Volatility spillover analysis provides consistent results. The overall results indicate that the status of a country as a net importer or exporter of raw materials is more important to the relationship between equity and currency futures than whether it is an emerging or developed economy.

Original languageEnglish (US)
Pages (from-to)3294-3311
Number of pages18
JournalEmerging Markets Finance and Trade
Volume54
Issue number14
DOIs
StatePublished - Nov 14 2018

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Currency futures
Equity
Commodity currency
Commodities
Currency
Exporters
Volatility spillover
Conditional correlation
Raw materials
Stock market returns
Exporting
Granger causality test
Futures markets
Importer

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

Cite this

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title = "International Equity Index and Currency Futures: Commodity Currencies or Emerging Versus Developed Markets?",
abstract = "Equity index futures in both emerging and developing markets that are net commodity exporters are strongly linked to their respective currency futures markets. Unconditional correlations among equity and currency futures are the highest for these net basic materials producers in both emerging and developed markets. Granger causality tests also indicate that stock market returns are more strongly related to currency futures returns for commodity-exporting countries. Additionally, conditional correlations among currency and equity futures returns are the strongest for commodity-producing countries in both emerging and developed economies. Volatility spillover analysis provides consistent results. The overall results indicate that the status of a country as a net importer or exporter of raw materials is more important to the relationship between equity and currency futures than whether it is an emerging or developed economy.",
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International Equity Index and Currency Futures : Commodity Currencies or Emerging Versus Developed Markets? / Krause, Timothy Alan; Tse, Yiuman.

In: Emerging Markets Finance and Trade, Vol. 54, No. 14, 14.11.2018, p. 3294-3311.

Research output: Contribution to journalArticle

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