Openness and the exchange rate exposure of national stock markets

Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

“…Note 2. See Friberg and Nydahl (1999); Total trade represents 140% of the GDP in 2008, compared to 24% in U.S. Note 3.…”

Sources of time-varying exchange rate exposure

“…Given that our sample period covers the period of time since the introduction of the euro in 1999 and, thereby, extends the sample period studied in earlier research by Friberg and Nydahl (1999), a detailed analysis of the temporal stability of the cointegration relations is warranted. Because the exact timing of potential changes in the cointegration relations is unknown as market participants may have anticipated the effects of the introduction of the euro long before 1999, we used a rolling-window-estimation approach to analyze changes over time in the cointegration relations.…”

“…We have also implemented rolling-window cointegration tests to account for changes in cointegration relations over time that were caused, for example, by the introduction of the euro. While trade openness has received considerable attention as a potential source of exchange rate exposure in the earlier empirical literature (Friberg and Nydahl 1999;Hutson and O'Driscoll 2009), the role played by the industry composition of imports has received less attention in the empirical literature (see, for example, Allayannis and Ihrig 2001 for the US). Our evidence sheds some light on the variation over time in exchange rate exposure, and on the sources of this variation, but more research needs to be done to better understand timevariation of exchange rate exposure.…”

Exchange rate exposure, foreign involvement and currency hedging of firms: some Swedish evidence

“…Overall the results above give some support for the hypothesis that foreign exchange rates do affect stock returns. The fact that the exposure appears more important for Sweden than the USA accords with the argument by Friberg and Nydahl (1998) that it is important to look at firms in more open economies when studying exchange rate exposure. Firms in a small open economy like Sweden are exposed to exchange rate movements to a larger extent than, say, US firms.…”