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An international market model and exchange rate risk: Australian evidence

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  • Amalia Di Iorio
  • Robert Faff

Abstract

The purpose of this paper is to investigate the sensitivity of Australian stock returns 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.

Suggested Citation

  • Amalia Di Iorio & Robert Faff, 1999. "An international market model and exchange rate risk: Australian evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 6(2), pages 77-80.
    • Handle: RePEc:taf:apeclt:v:6:y:1999:i:2:p:77-80
    DOI: 10.1080/135048599353672
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    Cited by:

    1. Karunanayake, Indika, 2014. "Exchange Rate Influences On Stock Market Returns And Volatility Dynamics: Empirical Evidence From The Australian Stock Market," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(1-2), January.
    2. Rodolfo Aquino, 2006. "A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 353-362.

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