Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/48488
Authors: 
Entorf, Horst
Jamin, Gösta
Year of Publication: 
2000
Series/Report no.: 
Würzburg economic papers 19
Abstract: 
In this paper, we try to shed some light on the association between the stock returns of German DAX corporations and movements of the U.S. Dollar. The link turns out to be rather unstable, but it depends significantly on direction and magnitude of foreign trade, and on the existing level of the DM/ Dollar exchange rate. This conclusion is based on exchange-rate-exposure and APT-modelling, as well as on panel data on the performance of 28 German DAX corporations, inclusion of macroeconomic risk factors, data on export and import involvement, and on econometric panel, GLS, SUR and cointegration techniques.
Document Type: 
Working Paper

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