Dynamic Relations between International Equity and Currency Markets: The Role of Currency Order Flow

@article{Francis2004DynamicRB,
  title={Dynamic Relations between International Equity and Currency Markets: The Role of Currency Order Flow},
  author={Bill Francis and Delroy M. Hunter and Iftekhar Hasan},
  journal={International Finance},
  year={2004}
}
Previous research on the dynamic linkages between international financial markets focused on bivariate interequity or intercurrency relationships and do not allow a specific role for the currency or equity market, respectively. In this paper, we hypothesize that there are important, yet not well understood, dynamic relationships between international equity and currency markets and these are driven by information spillover via the mechanism of currency order flow. Using a trivariate asymmetric… 
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