2000, English, Article, Other article edition: The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note Fraser, P.; Groenewold, Nicolaas

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/225279205
Physical Description
  • article
Published
  • 2000
Language
  • English

Edition details

Title
  • The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note
Author
  • Fraser, P.
  • Groenewold, Nicolaas
Published
  • 2000
Physical Description
  • article
Part Of
  • Fraser , P &​ Groenewold , N 2000 , ' The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note ' Applied Economics Letters , vol 7 , pp. 77-81 . DOI: 10.1080/​135048500351852
  • urn:ISSN:1350-4851
Subjects
Summary
  • The study uses GARCH-M methodology to examine the effect of exchange rate shocks on the volatility of excess returns for the nineteen sectors of the Australian stock market. The data covers the period December 1979 through April 1994. The evidence suggests that news on exchange rates can improve the volatility forecasts of certain Australian stock market sector excess returns. The findings have implications for the professional investor looking to diversify risk and, in addition, give some support to asset pricing models that place information on the state of the economy as central to the process determining equity returns.
Terms of Use
  • Restricted access
Language
  • English
Related Resource
Identifier
  • oai:pure.atira.dk:publications/​724ab647-db50-47ac-8236-ae93fc1a8e9b

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • WA (1)
None of your libraries hold this item.

This single location in All:

Library Access Call number(s) Formats held Language
University of Western Australia. UWA Research Repository. Open to the public Article; Other article English
Show 0 more libraries...
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment