English, Article, Journal or magazine article edition: Do Foreign Exchange Markets Matter Dor Industry Stock Returns ? An empirical investigation Vincent BODART; Paul REDING

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Bookmark: http://trove.nla.gov.au/version/178343
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Do Foreign Exchange Markets Matter Dor Industry Stock Returns ? An empirical investigation
Author
  • Vincent BODART
  • Paul REDING
Physical Description
  • preprint
Notes
  • In this paper, we develop a bivariate two factor-two country GARCH model of stock returns in order to investigate whether exchange rate fluctuations have a significant impact on the conditional mean, variance, and correlation of industry stock returns. Weekly data for seven industries in five European countries over the 1990-1998 period are used. We document that exchange rates have a significant effect on expected industry stock returns and on their volatility. The magnitude of this effect is, however, quite small. The contribution of the exchange rate factor to the time-varying correlation coefficients between two countriesÕindustry returns is also very modest. The paper also shows that the importance of the exchange rate spillovers is influenced by the exchange rate regime, the magnitude and the direction of exchange rate shocks.
  • Industry stock returns; Fx market; Volatility; International correlation
  • RePEc:ctl:louvir:2001016
Language
  • English
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