This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...

This paper develops an international asset-pricing model with defaultable firms and governments that demonstrates how sovereign credit risk in Europe affects US equity market prices. The risk of a sovereign debt crisis is a threat to economic growth that reduces the value of international...

This paper investigates the dynamics of information processing for equity prices and the exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow....

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...

In this paper, time-varying market and currency risks among a selected set of developed and emerging economies are compared in terms of stochastic dominance. For this purpose, time-varying exchange rate exposure and market betas are obtained through a multivariate model that explicitly allows...

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,...

Since the beginning of 2020, the effect of COVID-19 on the stock markets in developed and developing countries has been taken the attention of researchers. However, the existing empirical studies mainly focus on the short period. The present study aims to close this hole in the prior studies on...

The stock market operates on informed decisions based on information gathered from heterogeneous sources, encompassing diverse beliefs, strategies, and knowledge. This study examines the validity of rational bubbles in stock market prices, focusing on eight African stock markets: South Africa,...

Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...