Effects of size and international exposure of the US firms on the relationship between stock prices and exchange rates

Autor:	Anna V. Vygodina
Rok vydání:	2006
Předmět:	Economics and Econometrics Global integration Exchange rate Granger causality Multinational corporation Stock exchange Financial economics Monetary policy Economics Monetary economics Finance Stock (geology) Market maker
Zdroj:	Global Finance Journal. 17:214-223
ISSN:	1044-0283
DOI:	10.1016/j.gfj.2006.05.001
Popis:	This paper investigates relationship between US stock prices and exchange rates controlling for the firm size over a period 1987–2005 using Granger causality methodology. We find Grainger causality from large-cap stocks to the exchange rate, but no causality for the small-cap stocks. This supports previous findings that global integration might be confined to large multinational corporations. Our analysis suggests that nature of the relation changes over time. The points of reversion correspond to the periods of major changes in US Federal Reserve Policy. Results for the sub-periods identified support the hypothesis of changing causality between exchange rate and stock prices.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::727828d62a76a3aaa443cc740b750519 https://doi.org/10.1016/j.gfj.2006.05.001 Zobrazit plný text záznamu Full Text from ScienceDirect