Purpose – Whether stock returns are linked to exchange rate changes and whether foreign exchange risk is priced in a domestic context are less conclusive and thus still subject to a great debate. This paper attempts to provide new empirical evidence on these two inter-related issues, which are...

Purpose – The purpose of this paper is to examine the effects of exchange rate and global industry shocks on the relative performance of global industries. Design/methodology/approach – In addition to SUR approach, we also use GARCH approach to control for heteroskedasticity. Findings –...

Purpose – Whether stock returns are linked to exchange rate changes and whether foreign exchange risk is priced in a domestic context are less conclusive and thus still subject to a great debate. The purpose of this paper is to provide new empirical evidence on these two inter-related issues,...