Naslov
Return and Volatility Spillover between Stock Prices and Exchange Rates in Croatia: A Spillover Methodology Approach
(Return and Volatility Spillover between Stock Prices and Exchange Rates in Croatia: A Spillover Methodology Approach)

Autori
Škrinjarić, Tihana ; Dedi, Lidija ; Šego, Boško

Izvornik
Romanian Journal of Economic Forecasting (1582-6163) 24 (2021), 1; 93-108

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
spillover index ; return co-movements ; variance decomposition ; developing stock market ; flow and stock-oriented model

Sažetak
The relationship between stock prices, returns and exchange rates is important for policymakers for tailoring macroeconomic policies that will promote economic growth. It is also important for potential investors who consider real investment projects and forecast asset returns and risks. This research focuses on the stock return and exchange rates comovements in Croatia, by utilizing a VAR model and spillover index of Diebold and Yilmaz (2009). Empirical research is provided for the Croatian market, which has yet not been implemented in such a manner. Based on the results from the analysis, it can be concluded from a portfolio standpoint that return spillovers from exchange rates to stock returns were greater than volatility spillovers. This could have potential in hedging portfolio strategies. The same is true for the direction from stock to exchange rates returns and volatility

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA