We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and … switch from fixed to floating exchange rates, we find a significant increase in volatility of monthly stock returns … corresponding to the period of increased exchange rate variability, even relative to the increase in stock return volatility for …

constancy assumption of classical linear regression (CLRM) model and allows exchange rate and interest rate volatility to evolve … conventional stock indices. Results: The findings show positive and statistically significant effect of interest rate volatility on … KSE-100, whereas KMI-30 remains unaffected by the same. Exchange rate volatility is found to be significant for both …

augmented CAPM that simultaneously addresses the above issues. Our findings have important implications for hedging and …