Abstract

https://ssrn.com/abstract=226001
 
 

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International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns


John M. Griffin


University of Texas at Austin - Department of Finance

René M. Stulz


Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

October 1997

NBER Working Paper No. w6243

Abstract:     
It is widely accepted that, for some industries, competition across countries is" economically important and that this competition is strongly affected by exchange rate changes." This paper explores the validity of this view using weekly stock return data on 320 industry pairs" in six countries from 1975 to 1997. It is found that common shocks to industries across countries" are more important than competitive shocks. Weekly exchange rate shocks explain almost" nothing of the relative performance of industries. Using returns measured over longer horizons the importance of exchange rate shocks increases slightly and the importance of common shocks" to industries increases more substantially. Both industry and exchange rate shocks are more" important for industries that produce goods traded internationally, but the importance of these" shocks is economically small for these industries as well.

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Date posted: September 15, 2000  

Suggested Citation

Griffin, John M. and Stulz, René M., International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (October 1997). NBER Working Paper No. w6243. Available at SSRN: https://ssrn.com/abstract=226001

Contact Information

John M. Griffin (Contact Author)
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)
HOME PAGE: http://www.jgriffin.info

Rene M. Stulz
Ohio State University (OSU) - Department of Finance ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
HOME PAGE: http://www.cob.ohio-state.edu/fin/faculty/stulz

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
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