An international market model and exchange rate risk: Australian evidence

Amalia Di Iorio*, Robert Faff

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)


The purpose of this paper is to investigate the sensitivity of Australian stock return to US market returns, via an international market model. Our study investigates the relative sensitivity to (1) the US return denominated in Australian dollars and (2) the US market return decomposed into its two component factors (the US market return expressed in US dollars and the AUDUSD exchange rate return). Our results suggest that Australian industries are differentially sensitive to changes in the US market and to exchange rate movements.

Original languageEnglish
Pages (from-to)77-80
Number of pages4
JournalApplied Economics Letters
Issue number2
Publication statusPublished - 1999
Externally publishedYes


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