An international market model and exchange rate risk: Australian evidence

Amalia Di Iorio; Robert Faff

doi:10.1080/135048599353672

An international market model and exchange rate risk: Australian evidence

Amalia Di Iorio^*, Robert Faff

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-review

1 Citation (Scopus)

Abstract

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 language	English
Pages (from-to)	77-80
Number of pages	4
Journal	Applied Economics Letters
Volume	6
Issue number	2
DOIs	https://doi.org/10.1080/135048599353672
Publication status	Published - 1999
Externally published	Yes

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title = "An international market model and exchange rate risk: Australian evidence",

abstract = "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.",

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AB - 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.

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An international market model and exchange rate risk: Australian evidence

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