This paper aims to investigate the
inter-dependence of exchange rate and stock index from Japan. For this purpose,
we use a dynamic conditional correlation (DCC) model into a multivariate
Fractionally Integrated Exponential GARCH (FIGARCH). Framework takes account
long memory and time varying correlations. Our findings reveal time-varying
Co-movements evidence, a high persistence of conditional correlation and
dynamic correlations revolve around a constant level. The findings support the
idea of cross-market hedging and sharing of common information by investors.
JEL classification numbers: C51, C58, F31, G12.
Keywords: Exchange rate, Stocks, DCC-FIAPARCH, Japan.