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THE FOREIGN EXCHANGE OPERATING EXPOSURE OF AUSTRALIAN STOCKS

1993; Wiley; Volume: 33; Issue: 1 Linguagem: Inglês

10.1111/j.1467-629x.1993.tb00191.x

1467-629X

Geoffrey Loudon,

Financial Markets and Investment Strategies

Abstract: This paper provides empirical evidence on the stock return sensitivity of a sample of Australian companies, to changes in the trade weighted index value of the Australian dollar during the post float period January, 1984 ‐ December, 1989. Exposure is estimated using time series regression methods. While the evidence of exposure is generally weak, there is evidence that resource stocks and industrial stocks respond differentially to fluctuations in the Australian dollar.