On the relationship between exchange rates and equity returns: A new approach
On the relationship between exchange rates and equity returns: A new approach
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DOI：
10.1016/j.intfin.2011.03.001
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发表时间：
2011-10-01
影响因子：
4
通讯作者：
Katechos, Georgios
中科院分区：
文献类型：
--
作者：
Katechos, Georgios
本文采用了一种新的方法，以研究股票市场和汇率之间的潜在关系。目前的方法表明，两国股票市场的相对表现与其汇率有关。相反，本研究提出了一种替代方法，其中一个全球变量-全球股票市场回报-被认为对汇率有影响，货币的相对利率水平决定了关系的符号。我们的实证研究结果表明，汇率和全球股市回报率密切相关。利率较高的货币的价值与全球股票收益率呈正相关，而利率较低的货币的价值与全球股票收益率呈负相关。(C)2011年爱思唯尔B。V.保留所有权利。
This paper employs a new approach in order to investigate the underlying relationship between stock markets and exchange rates. Current approaches suggest that the relative equity market performance of two countries is linked to their exchange rate. In contrast, this study proposes an alternative approach where one global variable - global equity market returns - is believed to have an effect on exchange rates, with the relative interest rate level of a currency determining the sign of the relationship. Our empirical findings suggest that exchange rates and global stock market returns are strongly linked. The value of currencies with higher interest rates is positively related with global equity returns, whereas the value of currencies with lower interest rates is negatively related with global equity returns. (C) 2011 Elsevier B. V. All rights reserved.