本研究探討了主權債信用風險、股價報酬波動和外匯超額報酬之間的收益及波動傳遞效果，尤其聚焦於新興市場國家。利用向量自我迴歸動態條件相關模型（VAR-DCC-GARCH），本研究分析了來自18個新興市場國家的數據，涵蓋2008年11月至2023年1月的期間。研究結果顯示，在面臨全球金融動盪及重大政策變化時，這些市場的外匯超額報酬、股價波動性和主權債信用違約交換(CDS)價格之間存在顯著的地理和時期差異。
研究發現，在巴西、哥倫比亞、匈牙利、墨西哥和俄羅斯，股價報酬波動與外匯超額報酬之間存在顯著的負向外溢效果；而在印尼和泰國，觀察到正向的外溢效果。另外，資料顯示中國、埃及、秘魯、菲律賓、南韓和泰國的前一期CDS價格對當期外匯超額報酬間具有正向的報酬外溢效果。相反地，匈牙利和俄羅斯則顯示負向效果。而有八個國家顯示前一期外匯超額報酬對當期CDS價格有顯著負向報酬外溢效果。至於相關係數，除了埃及和南韓展現出正相關，大多數國家在外匯超額報酬和CDS價格之間展現出負相關。
此外，多數國家的CDS價格與股價報酬波動呈現顯著的正相關，這與傳統觀點一致。股市波動增加會使國家的主權債信用風險增加，進而提高CDS價格。然而，在泰國和土耳其，股市波動增加卻導致主權債信用風險降低，顯示出顯著的負相關。
本研究強調，在建構投資組合時，投資者應注意主權債信用風險、股價報酬波動和外匯超額報酬之間的動態相互作用是變動的。考慮到近年來全球經濟環境的不確定性增加，本研究突顯了在制定跨境投資策略時，深入分析經濟和政策因素的重要性，以及需要靈活應對市場波動的必要性。

This study, focusing on emerging market countries, examines the transmission of return and volatility between sovereign default risk, stock indices, and excess return of exchange rates. Using a vector autoregression dynamic conditional correlation model (VAR-DCC-GARCH), the study analyzes data from 18 emerging market countries, covering November 2008 to January 2023. The study results show significant geographic and period differences between the foreign exchange excess return, stock return volatility, and sovereign CDS premiums in these markets in the face of global financial turmoil and major policy changes.
The study finds significant negative spillovers between stock return volatility and excess return of exchange rates in Brazil, Colombia, Hungary, Mexico, and Russia, while positive spillovers are observed in Indonesia and Thailand. In addition, the data show a positive return spillover effect of the previous period's CDS premium on the current period's foreign exchange excess return for China, Egypt, Peru, the Philippines, South Korea, and Thailand. In contrast, Hungary and Russia show a negative effect. On the other hand, eight countries show significant negative return spillovers from the previous period's excess return of exchange rates to the current period's sovereign CDS premium.
As for the correlation coefficients, most countries show a negative correlation between foreign exchange excess return and the CDS premium, except for Egypt and South Korea, which show a positive correlation. In addition, most countries show a significant positive correlation between CDS premium and stock return volatility, which is consistent with the conventional view. Increased stock market volatility increases the country's sovereign default risk, increasing the sovereign CDS premium. However, in Thailand and Turkey, an increase in stock market volatility leads to decreased sovereign default risk, showing a significant negative correlation.
This study emphasizes that investors should be aware of the dynamic interactions between sovereign default risk, stock return volatility, and foreign exchange excess return, which are variable when constructing investment portfolios. Considering the increased uncertainty in the global economic environment in recent years, this study highlights the importance of an in-depth analysis of economic and policy factors when formulating cross-border investment strategies and the need for flexibility in responding to market volatility.

Agiakloglou, C., Deligiannakis, E. and Psillaki, M. (2021), "Investigating the behaviour of sovereign risk for Eurozone countries", Applied Economics, 53(53), 6204-6212.

Bollerslev T., Chou, R. Y. and Kroner, K. F. (1992), "ARCH modeling in finance: A review of the theory and empirical evidence", Journal of Econometrics, 52(1-2), 5-59.

Branson W. H. and Henderson D. (1985), "The specification and influence of asset markets. In: Jones RW, Kenen PB (eds) Handbook of Inter Econ, 2. Elsevier, Amsterdam".

Cochrane, J. (2001), "Asset Pricing", Princeton, NJ: Princeton University Press, 15(1), 349-351.

Corte, P. D., Sarno, L., Schmeling, M. and Wagner, C. (2021), "Exchange Rates and Sovereign Risk", Management Science, 68(8), 5591-5617.

Coudert, V. and Mignon, V. (2013), "The" forward premium puzzle" and the sovereign default risk", Journal of International Money and Finance, 32, 491-511.

Cumby R.E. and Obstfeld M. (1981), "A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis", The Journal of Finance, 36, 697-703.

Dornbusch, R. and S. Fischer, (1980), "Exchange Rates and the Current Account", American Economic Review, 70(5), 960-971.

Engle, R. (2002), "Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models", Journal of Business & Economic Statistics, 20(3), 339-350.

Fama, E. F. (1984), "Forward and Spot Exchange Rates", Journal of Monetary Economics, 14(3), 319-338.

Feng, Q., Sun, X., Liu, C. and Li, J. (2021), "Spillovers between sovereign CDS and exchange rate markets: The role of market fear", North American Journal of Economics and Finance, 55, 101308.

Feng Q., Wang Y., Sun X., Li J., Guo K., and Chen J. (2022), "What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets?", Global Finance Journal, 100773.

Frankel, J. A., (1983), "Monetary and Portfolio-Balance Models of Exchange Rate
Determination", in Economic Interdependence and Flexible Exchange Rates, J.
S. Bhandari and B. H. Putnam eds., Cambridge: MIT Press.

Hui, C.H. and Fong, T.P.W. (2015), "Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013", International Review of Economics & Finance, 40, 174–190.

Hung, N. (2019), "Spillover effects between stock prices and exchange rates for the central and eastern European countries", Global Business Review, 1–28.

Jebran, K. and Iqbal, A. (2016), "Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries", Financial Innovation, 2(3).

Kavli, H. and Kotzé, K. (2014), "Spillovers in exchange rates and the effects of global shocks on emerging market currencies", South African Journal of Economics, 82, 209–238.

Keblowski, P. and Welfe, A. (2012), "A risk-driven approach to exchange rate modeling", Economic Modelling, 29, 1473-1482.

Malik, F. (2021), "Volatility spillover between exchange rate and stock returns under volatility shifts", The Quarterly Review of Economics and Finance, 80, 605–613.

Mikhaylov, A. (2018), "Volatility spillover effect between stock and exchange rate in oil exporting countries", International Journal of Energy Economics and Policy, 8 (3), 321–326.

Rai, K. and Garg, B. (2021), "Dynamic correlations and volatility spillovers between stock price and exchange rate in BRIICS economies: evidence from the COVID-19 outbreak period", Applied Economics Letters, 29(8), 738-745.

Taly, I., (2015), "Study on Return and Volatility Spillover Effects among Stock Exchange, CDS and Foreign Exchange Markets in Korea", Journal of East Asian Economic Integration, 19 (3), 275-322.

Tse, Y. and Wald, J.K. (2013), "Insured uncovered interest parity", Finance Research Letters, 10(4), 175-183.

Umar, M. and Sun, G. (2015), "Country risk, stock prices, and the exchange rate of the renminbi", Journal of Financial Economic Policy, 7(4), 366-376.

Wang, A. T., Jiang, I. M., Chang, H. J. and Cheng, J. T. S. (2015), "The Role of Exchange Rate Fluctuations in the Volatility and Correlations in Emerging Markets", International Journal of Information and Management Sciences, 26, 219-238.

Wang, A. T., Yang, S.Y., and Yang, N.T. (2013), "Information transmission between sovereign debt CDS and other financial factors The case of Latin America", The North American Journal of Economics and Finance, 26, 586–601.

Yang, S.Y. and Doong S.C. (2004), "Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries", International Journal of Business and Economics, 3(2), 139-153.