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2021, vol. 49, br. 1, str. 67-80
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Preispitivanje efekta prelivanja - empirijski dokaz iz pristupa GARCH-ARMA
Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach
aChung Yuan Christian University, Taiwan bAsian Institute of Management, Philippines
e-adresa: g10804610@cycu.edu.tw
Sažetak
Ova studija analizira efekat prelivanja roba na tržištu, deviznog kursa i cena akcija. Počevši od 1. jula 2009. u studiji se sprovode dnevni podaci do 31. decembra 2019. godine. U ovoj studiji je korišćen GARCH-ARMA pristup. Rezultat pokazuje da četiri para doživljavaju jednosmerni (pozitivni) efekat prelivanja. Ipak, efekat prelivanja nestabilnosti pokazuje dvosmerni odnos (i pozitivan i negativan) između robnih tržišta, cena akcija i deviznih kurseva. Da zaključimo, i cene akcija i zlato su neto prenosnici nestabilnosti na druga tržišta, dok je tržište EUR-USD neto primalac nestabilnosti na nekim tržištima.
Abstract
This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study. The results show that four pairs experience the unidirectional (positive) spillover effect of return. Yet, the spillover effect of volatility shows a two-way relationship (both positive and negative) between commodity markets, stock prices, and exchange rates. To conclude, both stock prices and gold are volatility's net transmitters to other markets, while the EURUSD market is some markets' net receiver of volatility.
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