This paper examines the sensitivity of financial sector stock returns to two risk factors – interest rates (both long-term and short-term) and exchange rates. Specifically we investigate the impact of the European Union and the introduction of the euro on European financial sector risk in the...

This article analyzes the impact of movements in the Australian dollar/Japanese yen (AUDJPY) and the Australian dollar/US dollar (AUDUSD) exchange rates on the returns of the Australian equities market. Specifically, this paper investigates the nature of exchange rate exposure across increasing...

This study analyses the foreign exchange exposure of the Australian equities market to movements in the Australian dollar/Japanese yen (AUDJPY) and the Australian dollar/US dollar (AUDUSD) in a Fama-French framework using both daily data and monthly data. In addition to simply investigating...