—The aim of the paper is to study the effect of
currency exchange rate changes on the stock market volatility
asymmetry, based on the 14 country sample of Asian markets.
We calculate time series of stock market volatility asymmetry
using APARCH model and using both local currency returns
and the USD returns to compare the results. We use standard
statistical tests along with wavelet methods to compare the
obtained time series estimates of the volatility asymmetry. We
find that the effect from the exchange rates to the equity market
volatility asymmetry is statistically not significant but short
periods exist when currency rates can affect equity market
—APARHC model, exchange rate effect,
volatility asymmetry, wavelet models.
T. Talpsepp is with the Tallinn School of Economics and Business
Administration, Tallinn University of Technology, Tallinn, Estonia (e-mail:
Cite:Tõnn Talpsepp, "Local Currency Effect on Volatility Asymmetry in Asian Stock Markets," International Journal of Trade, Economics and Finance vol.3, no.4, pp. 293-298, 2012.