<p>This paper evaluates if international stock markets are exposed to fluctuation in the</p><p>exchange rate and whether this exposure is related to exports, imports and inflation. Eight</p><p>countries are studied: Australia, Belgium, Brazil, Hong Kong, Sweden, Switzerland, the</p><p>United Kingdom and the United States. The empirical investigation covers the period</p><p>from 1995 to 2004 and the estimation is conducted using the framework of Patro, D.K.,</p><p>Wald, J.K. and Wu, Y. (2002). The empirical findings show that all international stock</p><p>markets are exposed to exchange rate risk, except for Brazil. The amount of exchange rate</p><p>exposure is found to be sensitive to a country’s export, import and inflation. The results</p><p>imply that there are predictable relationship between changes in the return of the national</p><p>stock index return and fluctuation in the exchange rate. In addition, imports and exports</p><p>as well as inflation may be useful in predicting exchange rate risks.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:uu-5985 |
| Date | January 2005 |
| Creators | de Oliveira Andersson, Daniela |
| Publisher | Uppsala University, Department of Economics |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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