Volatility Spillover between Currency and Stock Markets in Financial Crisis Period: Evidence from China

  • Dr. Irfan Ullah Dongbei University of Finance and Economics, Dalian, China
  • Aurang Zeb Quaid-e-Azam College of Commerce, University of Peshawar, Pakistan
Keywords: Volatility spillover, Currency market, Stock market, GARCH

Abstract

The study aims to investigate the volatility spillover between the currency and stock markets of China for the period from January 01, 2004 to December 31, 2013. The time frame is divided in to pre, amid and post-

Published
2020-08-01