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 language | English (US) |
|---|---|
| Pages (from-to) | 3294-3311 |
| Number of pages | 18 |
| Journal | Emerging Markets Finance and Trade |
| Volume | 54 |
| Issue number | 14 |
| DOIs | |
| State | Published - Nov 14 2018 |
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All Science Journal Classification (ASJC) codes
- Finance
- Economics, Econometrics and Finance(all)
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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 journal › Article
TY - JOUR
T1 - International Equity Index and Currency Futures
T2 - Commodity Currencies or Emerging Versus Developed Markets?
AU - Krause, Timothy Alan
AU - Tse, Yiuman
PY - 2018/11/14
Y1 - 2018/11/14
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85052911498&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85052911498&partnerID=8YFLogxK
U2 - 10.1080/1540496X.2017.1377608
DO - 10.1080/1540496X.2017.1377608
M3 - Article
AN - SCOPUS:85052911498
VL - 54
SP - 3294
EP - 3311
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
SN - 1540-496X
IS - 14
ER -