Investigation of volatility and spillover in foreign ex-change return in Indian Chinese & Malaysian market

  • Authors

    • Amritkant Mishra Jaypee Institute of Information Technology. NOIDA , India
    2017-10-05
    https://doi.org/10.14419/ijaes.v5i2.8302
  • FOREX – Foreign Exchange Market, Volatility, GARCH, VAR, MGARCH.

  • Abstract

    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.

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  • How to Cite

    Mishra, A. (2017). Investigation of volatility and spillover in foreign ex-change return in Indian Chinese & Malaysian market. International Journal of Accounting and Economics Studies, 5(2), 150-156. https://doi.org/10.14419/ijaes.v5i2.8302

    Received date: 2017-08-30

    Accepted date: 2017-09-29

    Published date: 2017-10-05