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German stock returns: the dance with the dollar

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  • Entorf, Horst
  • Jamin, Gösta

Abstract

In this paper, we try to shed some light on the association between the stock returns of German DAX corporations and movements of the U.S. Dollar. The link turns out to be rather unstable, but it depends significantly on direction and magnitude of foreign trade, and on the existing level of the DM/ Dollar exchange rate. This conclusion is based on exchange-rate-exposure and APT-modelling, as well as on panel data on the performance of 28 German DAX corporations, inclusion of macroeconomic risk factors, data on export and import involvement, and on econometric panel, GLS, SUR and cointegration techniques.
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Suggested Citation

  • Entorf, Horst & Jamin, Gösta, 2000. "German stock returns: the dance with the dollar," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 14308, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:14308
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/14308/
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    Cited by:

    1. Horst Entorf & Gösta Jamin, 2007. "German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs," German Economic Review, Verein für Socialpolitik, vol. 8(3), pages 344-374, August.
    2. Jing Nie & Zhichao Zhang & Zhuang Zhang & Si Zhou, 2015. "Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 23(3), pages 97-109, May.
    3. repec:bla:germec:v:8:y:2007:i::p:344-374 is not listed on IDEAS

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