عنوان مقاله :
Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility: GARCH Model
پديد آورندگان :
besseba, abdelkadir djillali liabes university - faculty of economic, commercial and management sciences, Algeria
چكيده فارسي :
This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility. For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model). Stock market returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the stock market returns.
كليدواژه :
Returns Volatility , Exchange Rate Fluctuations , GARCH Model
