A PRELIMINARY INVESTIGA PRELIMINARY INVESTIGATION OF THE EFFECTS OF EXCHANGE RATES ON NATIONAL EQUITY MARKET RELATIONSHIPS
A PRELIMINARY INVESTIGATION OF THE EFFECTS OF EXCHANGE RATES ON NATIONAL EQUITY MARKET RELATIONSHIPS
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This paper analyzes the effect ofexchange rate changes on relationships existing between equity markets in the US , Canada, France, Germany, Japan, and United Kingdom during the period 1990-1995. Close equity market linkages arefound between the US and Canada, France, Germany, and United Kingdom. Exchange rate effects on those linkages are important onlyfor the US and the three European countries. Intertemporal analysis finds that exchange rate effects for the relationship between the US and Japan, which were not significantfor the entire period, have become significant only after 1994.
Abstract
This paper analyzes the effect ofexchange rate changes on relationships existing between equity markets in the US , Canada, France, Germany, Japan, and United Kingdom during the period 1990-1995. Close equity market linkages arefound between the US and Canada, France, Germany, and United Kingdom. Exchange rate effects on those linkages are important onlyfor the US and the three European countries. Intertemporal analysis finds that exchange rate effects for the relationship between the US and Japan, which were not significantfor the entire period, have become significant only after 1994.