Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 77-81 |
| Journal | Applied Economics Letters |
| Volume | 7 |
| DOIs | |
| Publication status | Published - 2000 |
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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 journal › Article
TY - JOUR
T1 - The effect of exchange rate shocks on the volatility of Australian sector excess returns: a note
AU - Fraser, P.
AU - Groenewold, Nicolaas
PY - 2000
Y1 - 2000
N2 - 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.
AB - 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.
U2 - 10.1080/135048500351852
DO - 10.1080/135048500351852
M3 - Article
VL - 7
SP - 77
EP - 81
JO - Applied Financial Economics Letters
JF - Applied Financial Economics Letters
SN - 1350-4851
ER -