Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71198
Authors: 
Jumah, Adusei
Kunst, Robert M.
Year of Publication: 
2001
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 94
Abstract: 
This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis can be used to appraise the need for hedging. Of the three examined stock indexes, the FTSE was found to be the only robust index, while the S&P 500 and the Nikkei indexes reacted to the dollar/yen exchange rates. The dollar/yen rate also improved risk prediction for the Standard&Poor futures, while the gains in forecasting from using bivariate models remained small otherwise.
Subjects: 
exchange rate futures
index futures
conditional heteroskedasticity
forecasting
JEL: 
C32
C53
G15
Document Type: 
Working Paper

Files in This Item:
File
Size
305.91 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.