Trade competitiveness and the aggregate returns in global stock markets
Source of Publication
Journal of Economic Dynamics and Control
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.
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
Chiah, Mardy; Long, Huaigang; Zaremba, Adam; and Umar, Zaghum, "Trade competitiveness and the aggregate returns in global stock markets" (2023). All Works. 5669.
Indexed in Scopus