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The effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets
Sandoval, Eduardo; Vásquez, Arturo - In: The international journal of business and finance … 2 (2008) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10003951974
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Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
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The Effect of Exchange Rate Risk on the Conditional Relationship between Beta Risk and Return in International Equity Markets
Sandoval, Eduardo - 2010
The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...
Persistent link: https://www.econbiz.de/10013148458
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Dollar Beta and Stock Returns
Bruno, Valentina; Shim, Ilhyock; Shin, Hyun Song - 2022
The financial channel of exchange rates operates through changes in risk-taking by investors and is reflected in the response of financial conditions to exchange rate movements. We show that stock returns also reflect the financial channel of exchange rates, with higher local currency stock...
Persistent link: https://www.econbiz.de/10013308935
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The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility
Degiannakis, Stavros Antonios - 2018
Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …
Persistent link: https://www.econbiz.de/10012910114
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Trading Day Effect to Stock Market, Foreign Exchange, and Foreign Stock Exchange Return
Pasaribu, Rowland Bismark - 2017
The purpose of this study is to analyze and test empirically the effect of trading day on the return rate of investment instruments in Indonesia for the period of 2005-2010. This study samples 13 actively traded stocks, 3 index data (JCI, ILQ45 and JII) on the Indonesia Stock Exchange, 3 foreign...
Persistent link: https://www.econbiz.de/10012942835
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Exchange rates, bond yields and the stock market : nonlinear evidence of Indonesia during the COVID-19 period
Prananta, Billy; Alexiou, Constantinos - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 83-99
Purpose - The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic. Design/methodology/approach - The authors employ a non-linear autoregressive...
Persistent link: https://www.econbiz.de/10014497076
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Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market
Singh, Saurabh - 2016
This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in...
Persistent link: https://www.econbiz.de/10012999793
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Journal of applied economics 24 (2021) 1, pp. 401-415
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX over the period 1994-2019. The following hypotheses are tested: frequency of abnormal returns is asignificant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over...
Persistent link: https://www.econbiz.de/10013174306
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296