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Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market

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Author Info
Bailey, Warren
Chung, Y. Peter
Abstract

We study the impact of exchange rate fluctuations and political risk on the risk premiums reflected in cross-sections of individual equity returns from Mexico, a country that has experienced significant monetary and political turbulence. Indicators from Mexico's currency and sovereign debt markets are employed as proxies for exchange rate and political risks. We find some evidence of equity market premiums for exposure to these risks. The results suggest common factors in emerging market equity, currency, and sovereign debt markets, and have several implications for corporate and portfolio management and for the use of emerging market data by researchers.

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File URL: http://journals.cambridge.org/abstract_S0022109000000363
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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 30 (1995)
Issue (Month): 04 (December)
Pages: 541-561
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:30:y:1995:i:04:p:541-561_00

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  1. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. George Christodoulakis & Emmanuel Mamatzakis, 2008. "Asymmetries in the sport-forward G10 exchange rates: an answer to an old puzzle?," Discussion Paper Series 2008_12, Department of Economics, University of Macedonia, revised Sep 2008. [Downloadable!]
  3. Andrés Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2005. "Do European Stock Markets Affect Latin American Stock Markets?," Finance 0512017, EconWPA. [Downloadable!]
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This page was last updated on 2009-12-3.

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