The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note

Research output: Contribution to journalArticle

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Abstract

The study uses GARCH-M methodology to examine the effect of exchange rate shocks on the volatility of excess returns for the nineteen sectors of the Australian stock market. The data covers the period December 1979 through April 1994. The evidence suggests that news on exchange rates can improve the volatility forecasts of certain Australian stock market sector excess returns. The findings have implications for the professional investor looking to diversify risk and, in addition, give some support to asset pricing models that place information on the state of the economy as central to the process determining equity returns.
Original languageEnglish
Pages (from-to)77-81
JournalApplied Economics Letters
Volume7
DOIs
Publication statusPublished - 2000

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Stock market
Excess returns
Exchange rates
Investors
Volatility forecasts
Equity returns
News
Asset pricing models
Methodology
GARCH-M model

Cite this

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title = "The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note",
abstract = "The study uses GARCH-M methodology to examine the effect of exchange rate shocks on the volatility of excess returns for the nineteen sectors of the Australian stock market. The data covers the period December 1979 through April 1994. The evidence suggests that news on exchange rates can improve the volatility forecasts of certain Australian stock market sector excess returns. The findings have implications for the professional investor looking to diversify risk and, in addition, give some support to asset pricing models that place information on the state of the economy as central to the process determining equity returns.",
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The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note. / Fraser, P.; Groenewold, Nicolaas.

In: Applied Economics Letters, Vol. 7, 2000, p. 77-81.

Research output: Contribution to journalArticle

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