On the Co-movements between Exchange Rate and Stock Price from Japan: A Multivariate FIGARCH-DCC Approach

摘要

This paper aims to investigate theinter-dependence of exchange rate and stock index from Japan. For this purpose,we use a dynamic conditional correlation (DCC) model into a multivariateFractionally Integrated Exponential GARCH (FIGARCH). Framework takes accountlong memory and time varying correlations. Our findings reveal time-varyingCo-movements evidence, a high persistence of conditional correlation anddynamic correlations revolve around a constant level. The findings support theidea of cross-market hedging and sharing of common information by investors.