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dc.contributor.authorKatechos, G.
dc.date.accessioned2011-10-31T13:01:06Z
dc.date.available2011-10-31T13:01:06Z
dc.date.issued2011-10-01
dc.identifier.citationKatechos , G 2011 , ' On the relationship between exchange rates and equity returns : A new approach ' , Journal of International Financial Markets, Institutions and Money , vol. 21 , no. 4 , pp. 550-559 . https://doi.org/10.1016/j.intfin.2011.03.001
dc.identifier.issn1042-4431
dc.identifier.otherPURE: 434719
dc.identifier.otherPURE UUID: 4bf80456-04ff-45e2-9083-812f6ca9d717
dc.identifier.otherScopus: 80052315263
dc.identifier.urihttp://hdl.handle.net/2299/6840
dc.descriptionOriginal article can be found at : http://www.sciencedirect.com/ Copyright Elsevier [Full text of this article is not available in the UHRA]
dc.description.abstractThis paper employs a new approach in order to investigate the underlying relationship between stock markets and exchange rates. Current approaches suggest that the relative equity market performance of two countries is linked to their exchange rate. In contrast, this study proposes an alternative approach where one global variable - global equity market returns - is believed to have an effect on exchange rates, with the relative interest rate level of a currency determining the sign of the relationship. Our empirical findings suggest that exchange rates and global stock market returns are strongly linked. The value of currencies with higher interest rates is positively related with global equity returns, whereas the value of currencies with lower interest rates is negatively related with global equity returns.en
dc.format.extent10
dc.language.isoeng
dc.relation.ispartofJournal of International Financial Markets, Institutions and Money
dc.subjectexchange rates
dc.subjectforeign exchange
dc.subjectinterest parity
dc.subjectrisk premia
dc.subjectstock returns
dc.titleOn the relationship between exchange rates and equity returns : A new approachen
dc.contributor.institutionFinance and Accounting Research Unit
dc.contributor.institutionHertfordshire Business School
dc.contributor.institutionSocial Sciences, Arts & Humanities Research Institute
dc.contributor.institutionCentre for Research on Management, Economy and Society
dc.contributor.institutionDepartment of Accounting, Finance and Economics
dc.description.statusPeer reviewed
dc.identifier.urlhttp://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-80052315263&md5=92572d28cccb84c1599489666aabf031
rioxxterms.versionVoR
rioxxterms.versionofrecordhttps://doi.org/10.1016/j.intfin.2011.03.001
rioxxterms.typeJournal Article/Review
herts.preservation.rarelyaccessedtrue


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