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Exchange rate determination and equity prices: Evidence from the UK

Litsios, Ioannis
Publication Date
2013-11
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Keywords
Exchange rates, Stock prices, Cointegration
Rights
© 2013 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Peer-Reviewed
Yes
Open Access status
openAccess
Accepted for publication
23/01/2014
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Department
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Management and Law Publications
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Abstract
This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities, and domestic and foreign real money balances, with a view to examine whether stock markets have an effect on the exchange rate in the long-run. The model is tested using data from the UK and the USA. Evidence suggests that the UK stock market has a significant effect on the value of the pound's sterling nominal effective exchange rate in the long-run over the period 1982 to 2011.
URI
http://hdl.handle.net/10454/10494
Version
Accepted manuscript
Citation
Litsios I (2013) The Exchange Rate Determination and Equity Prices: Evidence from the UK. Journal of Economic Asymmetries. 10(2): 115-128.
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Link to Version of Record
https://doi.org/10.1016/j.jeca.2014.01.002
Type
Article
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Notes