Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/71198 
Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 94
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
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.
Schlagwörter: 
exchange rate futures
index futures
conditional heteroskedasticity
forecasting
JEL: 
C32
C53
G15
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
305.91 kB





Publikationen in EconStor sind urheberrechtlich geschützt.