Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

This study examines international dual stocks' exposure to two types of exchange rate effects/risks. One is an arbitrage effect and a deviation from the Law of One Price (LOOP). This is a simultaneous effect, is influenced by factors relating to the structure of the market and results in a stock...

The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory. Using data for a broad set of 42 countries, we find that exchange rate movements are in fact unrelated to differentials in country-level equity returns. Consequently, a trading...

The paper studies the dependence pattern between stock market and foreign exchange market of three South Asian countries; namely Bangladesh, India and Sri Lanka by using five copula functions, to reveal asymmetric dependence structure. This paper focuses South Asia because of its promise as...