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In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P ASX 100 index for a period from 1980-2010 using daily, weekly, monthly and quarterly returns. We estimate unconditional and conditional exchange rate exposure and find a significant...
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In this paper we analyze the link between stock market performance and macroeconomic performance for a large number of countries. We study the short-run and long-run relationships and find that stock market returns do not coherently predict future macroeconomic changes for the majority of...
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The correlation between equity returns and currency returns affects the risk of international equity portfolios. We analyze the equity index and currency returns of 53 countries and find that correlations are mainly positive. Negative correlations are found for currencies which play a special...
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