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On the inherent instability of international financial markets : natural nonlinear interactions between stock and foreign exchange markets

Dieci, Roberto; Westerhoff, Frank H. - 2011

We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental...

Persistent link: https://www.econbiz.de/10009007640

Stock returns and carry trades

Chen, Zilin; Gang, Jianhua; Qian, Zongxin - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013188433

Liquidity Risk and Time-Varying Correlation between Equity and Currency Returns

Jung, Kuk Mo - 2016

Using data on twenty major OECD countries over time, this paper documents a new evidence on real equity and real currency prices: higher real returns in the home equity market relative to foreign counterparts are generally associated with real home currency depreciation at a monthly frequency,...

Persistent link: https://www.econbiz.de/10012991484

Foreign Exchange Exposure, Risk and the Japanese Stock Market

He, Jia; Ng, Lilian; Wu, Xueping - 1998

This paper presents a comprehensive empirical examination of the foreign exposure effect on Japanese corporations and sectors. We provide compelling evidence that, after controlling for marketwide movements, the exposure effect on Japanese corporations' stock returns is both statistically and...

Persistent link: https://www.econbiz.de/10014085184

The impact of FX exposure on the firm's stock market return

Bondarenko, Mariia; Brůna, Karel - In: European financial and accounting journal : EFAJ 16 (2021) 1, pp. 45-70

It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...

Persistent link: https://www.econbiz.de/10012642502

The Yield Curve and the Stock Market : Mind the Long Run

Faria, Gonçalo - 2019

We extract cycles from the term spread and study their role for predicting the equity premium using linear models. When properly extracted, the trend of the term spread is a strong and robust out-of-sample equity premium predictor, both from a statistical and an economic point of view. It...

Persistent link: https://www.econbiz.de/10012865561

The Equity Fear Premium and Daily Comovements of the S&P 500 E/P Ratio and Treasury Yields Before and During the 2007 Financial Crisis

Faugère, Christophe - 2011

The daily S&P 500 forward earnings yield (E/P ratio) is strongly negatively correlated with daily Treasury yields of all maturities during the 2007 financial crisis, which is a reversal from the relation that prevailed before the crisis. To explain this pattern reversal, I introduce a new risk...

Persistent link: https://www.econbiz.de/10013133057

Conditional Pricing of Currency Risk in Africa's Equity Markets

Kodongo, Odongo - 2014

In this paper, we sought to establish whether Africa's volatile currencies drive equity risk premia. We use the SDF framework to estimate various conditional specifications of the International Capital Asset Pricing Model through generalized method of moments technique. Our results show strong...

Persistent link: https://www.econbiz.de/10013051002

Pricing of the Currency Risk in the Canadian Equity Market

Al-Shboul, Mohammad - 2013

Based on a three-factor international capital asset pricing model, we examine whether the world market, the local … weekly data on 58 largest Canadian firms indicates that the currency as well as the local and the world market risks are … find that the price of the world market, the local market and the currency risks is time-varying and the Canadian equity …

Persistent link: https://www.econbiz.de/10013071525

Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

Persistent link: https://www.econbiz.de/10012813880

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