Gounopoulos, Dimitrios; Molyneux, Philip; Staikouras, … - In: International Review of Financial Analysis 29 (2013) C, pp. 271-282
This study uses the VAR-BEKK methodology to examine the relationship between equity returns and currency exposure for a sample of U.S., U.K. and Japanese banks and insurance firms during 2003–2011. The findings indicate that banks' equity returns are negatively related to changes in foreign...
