Trade competitiveness and the aggregate returns in global stock markets

被引：1

作者：

Chiah, Mardy ^{[1
]}

Long, Huaigang ^{[2
,3
]}

Zaremba, Adam ^{[4
,5
]}

Umar, Zaghum ^{[6
,7
]}

机构：

[1] Univ Newcastle, Newcastle Business Sch, Newcastle, NSW, Australia

[2] Zhejiang Univ Finance & Econ, Sch Finance, 18 Xueyuan St, Hangzhou 310018, Zhejiang, Peoples R China

[3] Zhejiang Univ Finance & Econ, New Type Key Think Tank Zhejiang Prov China Res In, Hangzhou 310018, Zhejiang, Peoples R China

[4] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

[5] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[6] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates

[7] South Ural State Univ, Lenin Prospect 76, Chelyabinsk 454080, Russia

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2023年 / 148卷

基金：

中国国家自然科学基金;

关键词：

Trade competitiveness; Real effective exchange rate; Country equity risk premium; Country stock returns; International stock markets; Asset pricing; Return predictability; The cross-section of stock returns; EXCHANGE-RATE EXPOSURE; CROSS-SECTION; INVESTOR SENTIMENT; EXPECTED RETURNS; RATE VOLATILITY; RATE RISK; EXPORTS; ANOMALIES; LIMITS; FIRM;

D O I：

10.1016/j.jedc.2023.104618

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using the change in the real effective exchange rate (REER) to reflect trade competitiveness, we examine its role in the cross-section of global equity returns. The changes in REER negatively affect stock market returns. The REER effect is robust after controlling for known risk factors and market characteristics. Furthermore, it remains pervasive across different periods and subsamples. Our findings support the conventional wisdom that appreciating currency harms trade values, consequently dampening a firm's stock market performance. (c) 2023 Elsevier B.V. All rights reserved.

引用

页数：18

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