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Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2015
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| _version_ | 1867613300718567424 |
|---|---|
| access_status_str | Open Access |
| author | Vavli, Hakon |
| author2 | Kotze, Kevin |
| author_browse | Kotze, Kevin Vavli, Hakon |
| author_facet | Kotze, Kevin Vavli, Hakon |
| author_sort | Vavli, Hakon |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10845 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:57.504Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10845 Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies Vavli, Hakon Kotze, Kevin Economics Includes bibliographical references. This paper provides a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest that the spillover index of exchange rate returns have increased steadily over time and that it exhibits moderate reactions to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) display evidence of considerable reactions to economic events and no apparent change in the trend. 2015-01-01T12:40:46Z 2015-01-01T12:40:46Z 2012 Master Thesis Masters MCom http://hdl.handle.net/11427/10845 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Vavli, Hakon Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies |
| thesis_degree_str | Master's |
| title | Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies |
| title_full | Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies |
| title_fullStr | Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies |
| title_full_unstemmed | Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies |
| title_short | Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies |
| title_sort | spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies |
| topic | Economics |
| url | http://hdl.handle.net/11427/10845 |
| work_keys_str_mv | AT vavlihakon spilloversintheforeignexchangemarketastudyofvolatilityandreturnsinemergingmarketcurrencies |