A recent line of research develops currency adjusted stock indices. These indices incorporate the effects of both stock value changes and underlying currency value changes to measure wealth changes. This paper extends the extant literature by examining time series properties of currency-adjusted...

Currency adjusted stock indices consider the impact of both stock value changes and underlying currency value changes on total wealth changes. This paper explores causality and cointegration of currency-adjusted indices using intraday data. This paper examines tick-by-tick data for seven...