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Openness and the exchange rate exposure of national stock markets - a note

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Author Info
Friberg, Richard () (Dept. of Economic Statistics, Stockholm School of Economics)
Nydahl, Stefan (Uppsala University)

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Abstract

This paper examines the relationship between the valuation of the stock market and an effective exchange rate. We use monthly data on 10 industrialized countries for the period 1973-1996. We find that the more open the economy, the stronger is the (positive) relationship between return on the stock market and the exchange rate. The pattern that we find is consistent with the well documented findings of less than full pass-through of exchange rates onto import prices.

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Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 195.

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Length: 21 pages
Date of creation: 17 Sep 1997
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Handle: RePEc:hhs:hastef:0195

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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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Related research
Keywords: exchange rate pass-through exchange rate exposure

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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

References listed on IDEAS
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  1. Richard C. Marston, 1996. "The Effects of Industry Structure on Economic Exposure," NBER Working Papers 5518, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Marston, R.C., 1996. "The Effects of Industry Structure on Economic Exposure," Weiss Center Working Papers 96-3, Wharton School - Weiss Center for International Financial Research.
  3. Friberg, Richard, 1997. "Prices, profits and exchange rate uncertainty: The case of Bertrand competition in differentiated goods," Working Paper Series in Economics and Finance 196, Stockholm School of Economics, revised 30 Jan 1998. [Downloadable!]
  4. Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June. [Downloadable!] (restricted)
  5. Pinelopi K. Goldberg & Michael M. Knetter, 1996. "Goods Prices and Exchange Rates: What Have We Learned?," NBER Working Papers 5862, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," Journal of Business, University of Chicago Press, vol. 63(3), pages 331-45, July. [Downloadable!] (restricted)
  7. Chow, Edward H & Lee, Wayne Y & Solt, Michael E, 1997. "The Exchange-Rate Risk Exposure of Asset Returns," Journal of Business, University of Chicago Press, vol. 70(1), pages 105-23, January. [Downloadable!] (restricted)
  8. Dumas, Bernard J, 1994. "Short- and Long-term Hedging for the Corporation," CEPR Discussion Papers 1083, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  9. Bodnar, Gordon M. & Gentry, William M., 1993. "Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 29-45, February. [Downloadable!] (restricted)
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