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Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan

Kanas, Angelos (2002) Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan. Applied Economics Letters, 9 (8). pp. 501-503. ISSN 1350-4851. (doi:10.1080/13504850110095783) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1080/13504850110095783

Abstract

This study investigates whether the volatility of exchange rate changes is affected by the volatility of stock returns for three industrialized countries, namely the US, the UK and Japan. These findings suggest that the volatility of home stock returns is a significant determinant of the volatility of exchange rate changes in all three countries, supporting the validity of the asset approach models to exchange rates for the US, the UK and Japan. Moreover, these results can be interpreted as evidence that the financial markets in these countries are integrated, in line with Zapatero (1995).

Item Type: Article
DOI/Identification number: 10.1080/13504850110095783
Uncontrolled keywords: exchange rate, international comparison, stock market, Japan, United Kingdom, United States
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 15:19 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41165 (The current URI for this page, for reference purposes)
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