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

Author

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  • Friberg, Richard

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Nydahl, Stefan

    (Uppsala University)

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.

Suggested Citation

  • Friberg, Richard & Nydahl, Stefan, 1997. "Openness and the exchange rate exposure of national stock markets - a note," SSE/EFI Working Paper Series in Economics and Finance 195, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0195
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    References listed on IDEAS

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    1. 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.
    2. Friberg, Richard, 1997. "Prices, profits and exchange rate uncertainty: The case of Bertrand competition in differentiated goods," SSE/EFI Working Paper Series in Economics and Finance 196, Stockholm School of Economics, revised 30 Jan 1998.
    3. Pinelopi Koujianou Goldberg & Michael M. Knetter, 1997. "Goods Prices and Exchange Rates: What Have We Learned?," Journal of Economic Literature, American Economic Association, vol. 35(3), pages 1243-1272, September.
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    8. Richard C. Marston, 1996. "The Effects of Industry Structure on Economic Exposure," NBER Working Papers 5518, National Bureau of Economic Research, Inc.
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    10. Ibrahimi, Fatemeh & Oxelheim, Lars & Wihlborg, Clas, 1989. "International Stock Markets and Fluctuations in Exchange Rates and Other Macroeconomic Variables," Working Paper Series 244, Research Institute of Industrial Economics.
    11. Bartov, Eli & Bodnar, Gordon M, 1994. "Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1755-1785, December.
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    Cited by:

    1. Muller, Aline & Verschoor, Willem F.C., 2006. "Foreign exchange risk exposure: Survey and suggestions," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 385-410, October.

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    More about this item

    Keywords

    exchange rate pass-through; exchange rate exposure;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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