International competition and exchange rate shocks: a cross-country industry analysis of stock returns |
| |
Authors: | Griffin JM; Stulz RM |
| |
Institution: | Department of Finance, Arizona State University, PO Box 873906, Tempe, AZ 85287-3906, USA
1 Ohio State University, OH, USA
z Corresponding author
E-mail: john.griffin@asu.edu |
| |
Abstract: | This article systematically examines the importance of exchangerate movements and industry competition for stock returns. Commonshocks to industries across countries are more important thancompetitive shocks due to changes in exchange rates. Weeklyexchange rate shocks explain almost nothing of the relativeperformance of industries. Using returns measured over longerhorizons, the importance of exchange rate shocks increases slightlyand the importance of industry common shocks increases moresubstantially. Both industry and exchange rate shocks are moreimportant for industries that produce internationally tradedgoods, but the importance of these shocks is economically smallfor these industries as well. |
| |
Keywords: | |
本文献已被 Oxford 等数据库收录! |
|