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International stock return differentials and real exchange rate changes

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  • Dimitrios Malliaropulos

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  • Dimitrios Malliaropulos, "undated". "International stock return differentials and real exchange rate changes," CERF Discussion Paper Series 96-09, Economics and Finance Section, School of Social Sciences, Brunel University.
    • Handle: RePEc:bru:brucer:96-09
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    2. Rahman, Molla Ramizur & Misra, Arun Kumar & Lucey, Brian M. & Mohapatra, Sabyasachi & Kumar, Satish, 2023. "Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    3. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.
    4. Farzaneh Ahmadian-Yazdi & Amin Sokhanvar & Soheil Roudari & Aviral Kumar Tiwari, 2025. "Dynamics of the relationship between stock markets and exchange rates during quantitative easing and tightening," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-32, December.
    5. Erol Muzir & Cevdet Kizil & Burak Ceylan, 2021. "Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market," JRFM, MDPI, vol. 14(3), pages 1-31, March.
    6. Mei Qiu & Pinfold & Rose, 2015. "A currency preferential approach to international equity investment," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5247-5261, October.
    7. Xingwang Qian & Andreas Steiner, 2014. "International Reserves and the Composition of Foreign Equity Investment," Review of International Economics, Wiley Blackwell, vol. 22(2), pages 379-409, May.
    8. Douglas Kai Tim Wong, 2020. "The forward‐looking ability of the real exchange rate and its misalignment to forecast the economic performance and the stock market return," The World Economy, Wiley Blackwell, vol. 43(10), pages 2723-2741, October.
    9. Rita Biswas & Louis R. Piccotti & Ben Z. Schreiber, 2021. "Differential risk premiums and the UIP puzzle," Financial Management, Financial Management Association International, vol. 50(1), pages 139-167, March.
    10. Tshikalange, Mulanga & Bonga-Bonga, Lumengo, 2023. "The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons," MPRA Paper 118401, University Library of Munich, Germany.
    11. Moore, Tomoe & Wang, Ping, 2014. "Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 1-11.
    12. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2020. "The foreign exchange and stock market nexus: New international evidence," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 240-266.
    13. Vygodina, Anna V., 2006. "Effects of size and international exposure of the US firms on the relationship between stock prices and exchange rates," Global Finance Journal, Elsevier, vol. 17(2), pages 214-223, December.
    14. Gulnur Muradoglu & Hakan Berument & Kivilcim Metin, 1999. "Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)," Multinational Finance Journal, Multinational Finance Journal, vol. 3(4), pages 223-252, December.
    15. Takatoshi Ito & Yuko Hashimoto, 2005. "High‐Frequency Contagion of Currency Crises in Asia," Asian Economic Journal, East Asian Economic Association, vol. 19(4), pages 357-381, December.
    16. Juha Junttila & Marko Korhonen, 2013. "Stock market information and the relationship between real exchange rate and real interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 23(11), pages 901-920, June.

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