Exchange Rate Return and Volatility Spillover across Major Trading Partners of India

Q3 Business, Management and Accounting

Journal of Asia-Pacific Business Pub Date : 2020-04-02 DOI:10.1080/10599231.2020.1745047

Bibhuti Ranjan Mishra, A. Pradhan, A. Tiwari, Aruna Kumar Dash, M. Aruna

引用次数: 4

Abstract

ABSTRACT We examine the connectedness among the series of four exchange rates with respect to the Indian Rupee. The results of Diebold and Yilmaz method which measures time-domain connectedness, show that the overall connectedness of the system is 30.15%. The results of Baruník and Křehlík approach which measures frequency-domain connectedness, exhibit that in the total connectedness the maximum contribution is from highest frequency (14.27%) and the lowest contribution is made by the second-lowest frequency (2.03%). Finally, the dynamic connectedness is also examined with rolling window methods. These results are very critical in understanding the connectedness among various exchange rate markets.

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印度主要贸易伙伴的汇率回报率和波动性溢出

摘要:我们研究了关于印度卢比的一系列四种汇率之间的联系。Diebold和Yilmaz方法测量时域连通性的结果表明，系统的总体连通性为30.15%。测量频域连通性的Baruník和Křehlík方法的结果表明，在总连通性中，最大贡献来自最高频率(14.27%)，最低贡献来自第二低频率(2.03%)。最后，用滚动窗方法对动态连通性进行了检验。这些结果对于理解不同汇率市场之间的联系是非常重要的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Asia-Pacific Business Business, Management and Accounting-Business and International Management

CiteScore

2.50

自引率

0.00%

发文量

期刊介绍： Present circumstances underscore the need to improve the understanding of conducting business with and within the Asia-Pacific countries. The Journal of Asia-Pacific Business™ provides a blend of cutting-edge knowledge and practical applications on business management and marketing strategy. In the Journal of Asia-Pacific Business™, you will find articles and feature sections that provide a pragmatic view of the business environment in this dynamic region. This essential resource offers readers a good blend of descriptive, conceptual, and theoretical articles dealing with current topics.