This paper investigates the issue of co-movement and interaction among the\nmonetary, foreign exchange and stock markets by employing the data from\nChina�s financial markets. Based on the ICA-EGARCH-M model, we explore\nthe volatility spillover effects so as to illustrate the overall co-movements\nacross financial markets. Furthermore, in order to observe the multi-market\ndynamic relationship variation process, we calculate the dynamic correlation\ncoefficients with the AG-DCC-MGARCH model. Our findings provide both\nstatic and dynamic evidence on the co-movement and interaction effects of\nfinancial markets which may lead to the systemic financial risk.
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