The Effect of Intervaling on the Foreign Exchange Exposure of Australian Stock Returns

Amalia Di Iorio () and Robert Faff
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Amalia Di Iorio: RMIT University, Australia

Multinational Finance Journal, 2001, vol. 5, issue 1, 1-33

Abstract: This article analyzes the impact of movements in the Australian dollar/Japanese yen (AUDJPY) and the Australian dollar/US dollar (AUDUSD) exchange rates on the returns of the Australian equities market. Specifically, this paper investigates the nature of exchange rate exposure across increasing return measurement intervals, enabling an examination of both its short-term and its long-term effect on stock returns. Consistent with previous literature, considerable evidence of long-term exchange rate exposure is found. Further, it is found that in the long-term the Australian equities market in general is exposed to fluctuations in the AUDJPY, while only some Australian industries are exposed to movements in the AUDUSD. Finally, convincing evidence in terms of the determinants of foreign exchange exposure is not found.

Keywords: Australian stock market; exchange rate risk; intervaling (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:5:y:2001:i:1:p:1-33

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