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Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

College of Business, Technology and Engineering, Sheffield Hallam University, Sheffield S1 1WB, UK
Academic Editor: Edoardo Otranto
J. Risk Financial Manag. 2021, 14(6), 270; https://doi.org/10.3390/jrfm14060270
Received: 3 May 2021 / Revised: 7 June 2021 / Accepted: 7 June 2021 / Published: 16 June 2021
(This article belongs to the Special Issue Correlations and Comovements in Financial Markets)
In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators. View Full-Text
Keywords: foreign exchange market; volatility spillover; return spillover; VAR framework; variance decomposition; financial crisis; financial interdependence foreign exchange market; volatility spillover; return spillover; VAR framework; variance decomposition; financial crisis; financial interdependence
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MDPI and ACS Style

Mohammed, W.A. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. J. Risk Financial Manag. 2021, 14, 270. https://doi.org/10.3390/jrfm14060270

AMA Style

Mohammed WA. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. Journal of Risk and Financial Management. 2021; 14(6):270. https://doi.org/10.3390/jrfm14060270

Chicago/Turabian Style

Mohammed, Walid A. 2021. "Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets" Journal of Risk and Financial Management 14, no. 6: 270. https://doi.org/10.3390/jrfm14060270

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