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The US stock market and the international value of the US dollar

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  • Johnson, Robert
  • Soenen, Luc

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  • Johnson, Robert & Soenen, Luc, 2004. "The US stock market and the international value of the US dollar," Journal of Economics and Business, Elsevier, vol. 56(6), pages 469-481.
    • Handle: RePEc:eee:jebusi:v:56:y:2004:i:6:p:469-481
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    1. De Santis, Giorgio & Gerard, Bruno, 1997. "International Asset Pricing and Portfolio Diversification with Time-Varying Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1881-1912, December.
    2. Robert Johnson & Luc Soenen, 2002. "Asian Economic Integration and Stock Market Comovement," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(1), pages 141-157, March.
    3. Choi, Jongmoo Jay & Hiraki, Takato & Takezawa, Nobuya, 1998. "Is Foreign Exchange Risk Priced in the Japanese Stock Market?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(3), pages 361-382, September.
    4. Jongmoo Jay Choi & Anita Mehra Prasad, 1995. "Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals," Financial Management, Financial Management Association, vol. 24(3), Fall.
    5. Jorion, Philippe, 1995. "Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-528, June.
    6. Dumas, Bernard & Solnik, Bruno, 1995. "The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
    7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    8. Johnson, Robert & Soenen, Luc, 2003. "Economic integration and stock market comovement in the Americas," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 85-100, February.
    9. Hau, Harald, 2002. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 611-630, August.
    10. Choi, Jongmoo Jay, 1984. "Consumption Basket, Exchange Risk, and Asset Demand," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 287-298, September.
    11. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 363-376, September.
    12. Tarun K. Mukherjee & Atsuyuki Naka, 1995. "Dynamic Relations Between Macroeconomic Variables And The Japanese Stock Market: An Application Of A Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, June.
    13. Kang, Jun-Koo & Stulz, Rene M., 1997. "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan," Journal of Financial Economics, Elsevier, vol. 46(1), pages 3-28, October.
    14. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    15. Mukherjee, Tarun K & Naka, Atsuyuki, 1995. "Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, Summer.
    16. Eun, Cheol S & Resnick, Bruce G, 1988. " Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection," Journal of Finance, American Finance Association, vol. 43(1), pages 197-215, March.
    17. Tesar, Linda L & Werner, Ingrid M, 1995. "U.S. Equity Investment in Emerging Stock Markets," The World Bank Economic Review, World Bank, vol. 9(1), pages 109-129, January.
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    Cited by:

    1. Joshua Aizenman & Ilan Noy, 2009. "Endogenous Financial and Trade Openness," Review of Development Economics, Wiley Blackwell, vol. 13(2), pages 175-189, May.
    2. Kajtazi, Anton & Moro, Andrea, 2019. "The role of bitcoin in well diversified portfolios: A comparative global study," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 143-157.
    3. Dicle, Mehmet F. & Levendis, John, 2013. "Comment on Johnson and Soenen (2004): The US stock market and the international value of the US dollar," Journal of Economics and Business, Elsevier, vol. 69(C), pages 101-108.

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