The Effects of Exchange-Rate Exposures on Equity Asset Markets

Jumah, Adusei and Kunst, Robert M. (January 2001) The Effects of Exchange-Rate Exposures on Equity Asset Markets. IHS Economics Series 94

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Abstract: This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis can be used to appraise the need for hedging. Of the three examined stock indexes, the FTSE was found to be the only robust index, while the S&P 500 and the Nikkei indexes reacted to the dollar/yen exchange rates. The dollaer/yen rate also improved risk prediction for the Standard&Poor futures, while the gains in forecasting from using bivariate models remained small otherwise.;

Item Type: IHS Series
Keywords: 'Exchange rate futures' 'Index futures' 'Conditional heteroskedasticity' 'Forecasting'
Classification Codes (e.g. JEL): C32, C53, G15
Status: Published
Date Deposited: 26 Sep 2014 10:37
Last Modified: 21 Jul 2017 05:00
URI: http://irihs.ihs.ac.at/id/eprint/1322

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