The long-run component of foreign exchange volatility and stock returns

Ding Du; Ou Hu

doi:10.1016/j.intfin.2014.04.005

The long-run component of foreign exchange volatility and stock returns

Ding Du, Ou Hu

Business, The W.A. Franke College of (CoB)

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

3 Scopus citations

Abstract

The present paper explores the cross-sectional pricing power of foreign exchange volatility in the US stock market by decomposing it into short- and long-run components. Our approach is motivated by Bartov et al. (1996). Empirically, we find supporting evidence that the long-run component of foreign exchange volatility is priced in the US stock market. Our findings have important implications for international finance and empirical asset pricing.

Original language	English (US)
Pages (from-to)	268-284
Number of pages	17
Journal	Journal of International Financial Markets, Institutions and Money
Volume	31
Issue number	1
DOIs	https://doi.org/10.1016/j.intfin.2014.04.005
State	Published - Jul 2014

Keywords

F31
Foreign exchange volatility
G15
Long-run component of foreign exchange volatility
Mimicking-factor portfolios
Short-run component of foreign exchange volatility

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.intfin.2014.04.005

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abstract = "The present paper explores the cross-sectional pricing power of foreign exchange volatility in the US stock market by decomposing it into short- and long-run components. Our approach is motivated by Bartov et al. (1996). Empirically, we find supporting evidence that the long-run component of foreign exchange volatility is priced in the US stock market. Our findings have important implications for international finance and empirical asset pricing.",

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AB - The present paper explores the cross-sectional pricing power of foreign exchange volatility in the US stock market by decomposing it into short- and long-run components. Our approach is motivated by Bartov et al. (1996). Empirically, we find supporting evidence that the long-run component of foreign exchange volatility is priced in the US stock market. Our findings have important implications for international finance and empirical asset pricing.

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KW - Mimicking-factor portfolios

KW - Short-run component of foreign exchange volatility

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The long-run component of foreign exchange volatility and stock returns

Abstract

Keywords

ASJC Scopus subject areas

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