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1、Int.Fin.Markets,Inst.andMoney21(2011)550–559ContentslistsavailableatScienceDirectJournalofInternationalFinancialMarkets,Institutions&Moneyjournalhomepage:www.elsevier.com/locate/intfinOntherelationshipbetweenexchangeratesandequityreturns:AnewapproachGeorgios?KatechosFinanceandAccountingResear
2、chUnit,UniversityofHertfordshire,BusinessSchool,deHavillandCampus,Hat?eld,HertfordshireAL109AB,UKarticleinfoabstractArticlehistory:ThispaperemploysanewapproachinordertoinvestigatetheReceived19January2011underlyingrelationshipbetweenstockmarketsandexchangerates.Accepted17March2011CurrentAvaila
3、bleonline2April2011approachessuggestthattherelativeequitymarketperfor-manceoftwocountriesislinkedtotheirexchangerate.Incontrast,thisJELstudyproposesanalternativeapproachwhereoneglobalvari-classi?cation:ableF31–globalequitymarketreturns–isbelievedtohaveaneffectonG15exchangerates,withtherelativ
4、einterestratelevelofacurrencydeterminingthesignoftherelationship.Ourempirical?ndingsKeywords:suggestthatexchangeratesandglobalstockmarketreturnsareForeignexchangestronglylinked.ThevalueofcurrencieswithhigherinterestratesExchangeratesispositivelyrelatedwithglobalequityreturns,whereasthevalueSt
5、ockreturnsofcurrencieswithlowerinterestratesisnegativelyrelatedwithInterestparityglobalequityreturns.Riskpremia?2011ElsevierB.V.Allrightsreserved.1.IntroductionTheunderstandingofthemechanismdeterminingexchangeratesisstillanunsolvedpuzzleinthe?eldofinternationaleconomics.AccordingtoBjonnesandR
6、ime(2005:572),‘Afterextensiveresearchovermanyyearsfewstoneshavebeenleftunturnedwhenitcomestoinvestigatingtheshort-termexplanatorypowerofmacroeconomicvariables’.However,mostofthoseattemptshavenotachievedthedesiredresults.StudiesofMeeseandRogoff(1983),Frankel(1984),andBoughton(1987)suggestthatn
7、omodelissuccessfulinexplainingexchangerate?uctuations.Thisisparticularlyvalidinregardstoshorttermexchangeratemovements.FrankelandRose(1995)reportthatno?Tel.:+4401707285532;fax:+4401707285455;mobile:+4407906617955.E-mailaddress:g.1.katechos@he
