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.本数据集包含以当地货币计价的每日收盘股价，涵盖美国标普500综合指数（Standard & Poor's 500 composite index, S&P500）、欧元区斯托克50指数（Eurostoxx 50 Index）、日本日经225指数（Nikkei 225 index）、英国富时100指数（Financial Times Stock Exchange 100 Index, FTSE100）、澳大利亚普通股指数（All Ordinaries Index, AOI）、瑞士市场指数（Swiss Market Index, SMI）以及加拿大多伦多证券交易所综合指数（Toronto Stock Exchange Composite Index, TSX）。各经济体对应的汇率序列均采用贸易加权汇率，以适配各国在外国股票市场中的多元化投资头寸。具体而言，本研究考察以下有效汇率：美元（US Dollar, USD）、欧元（Euro, EUR）、澳大利亚元（Australian dollar, AUD）、瑞士法郎（Swiss franc, CHF）、加拿大元（Canadian dollar, CAD）、英镑（British pound, GBP）以及日元（Japanese yen, JPY）。股价数据提取自Datastream数据库，所用汇率序列均为英格兰银行发布的贸易加权汇率。