Baur, Dirk G; Miyakawa, Isaac - Finance Discipline Group, Business School - 2012
In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P/ASX 100 index for a period from 1980 - 2010 using daily, weekly, monthly and quarterly returns. The study estimates unconditional and conditional, time-varying and asymmetric, exchange...