Trade competitiveness and the aggregate returns in global stock markets

Title: Trade competitiveness and the aggregate returns in global stock markets
Creator: Chiah, Mardy; Long, Huaigang; Zaremba, Adam; Umar, Zaghum
Relation: Journal of Economic Dynamics and Control Vol. 148, Issue March 2023, no. 104618
Publisher Link: http://dx.doi.org/10.1016/j.jedc.2023.104618
Publisher: Elsevier
Resource Type: journal article
Date: 2023
Description: 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.
Subject: trade competitiveness; real effective exchange rate; country equity risk premium; country stock returns; international stock markets; asset pricing
Identifier: http://hdl.handle.net/1959.13/1490613
Identifier: uon:52941
Identifier: ISSN:0165-1889
Language: eng
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