Data for: Volatility spillovers between foreign exchange and stock markets

The data consists of daily closing stock prices denominated in local currency for the US (Standard & Poor's 500 composite index, S&P500), the Euro area (Eurostoxx 50 Index), Japan (Nikkei 225 index), the UK (Financial Times Stock Exchange 100 Index, FTSE100), Australia (All Ordinaries Index, AOI), Switzerland (Swiss Market Index, SMI) and Canada (Toronto Stock Exchange Composite Index, TSX). The exchange rate series for each country is a trade-weighted exchange rate, to account for each country’s diverse investment positions in foreign equities. In particular, we examine the following effective exchange rates: US Dollar (USD), Euro (EUR), Australian dollar (AUD), Swiss franc (CHF), Canadian dollar (CAD), British pound (GBP) and Japanese yen (JPY). The stock price data has been extracted from Datastream. The exchange rate series are the Bank of England trade-weighted exchange rates.