Zusammenfassung:
This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-quantilogram recently proposed by Han et al. (2016). Considering various quantile ranges, we investigate various spillover effects between two markets. Our findings show that there exists an asymmetric bi-directional spillover between two markets and the interdependence between two markets implies that one market has significant predictive power on the other.
Quellenangabe:
Han, Heejoon/Lee, Na Kyeong (2016). Quantile dependence between foreign exchange market and stock market : the case of Korea. In: East Asian economic review 20 (4), S. 519 - 544.
doi:10.11644/KIEP.EAER.2016.20.4.320.