Trade competitiveness and the aggregate returns in global stock markets

Author First name, Last name, Institution

Mardy Chiah, Newcastle Business School
Huaigang Long, Zhejiang University of Finance and Economics
Adam Zaremba, Montpellier Business School
Zaghum Umar, Zayed UniversityFollow

Document Type

Article

Source of Publication

Journal of Economic Dynamics and Control

Publication Date

3-1-2023

Abstract

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.

DOI Link

10.1016/j.jedc.2023.104618

ISSN

0165-1889

Publisher

Elsevier BV

Volume

148

Disciplines

Business

Keywords

Asset pricing, Country equity risk premium, Country stock returns, International stock markets, Real effective exchange rate, Return predictability, The cross-section of stock returns, Trade competitiveness

Scopus ID

85150017839

Recommended Citation

Chiah, Mardy; Long, Huaigang; Zaremba, Adam; and Umar, Zaghum, "Trade competitiveness and the aggregate returns in global stock markets" (2023). All Works. 5669.
https://zuscholars.zu.ac.ae/works/5669

Indexed in Scopus

yes

Open Access

no