Japan experienced unprecedented recession and deflation for more than 10 years. The
Bank of Japan enforced quantitative monetary easing at a level never seen before. One …

There is a strong connection between bank performance and economic growth. Therefore,
understanding on the effects of credit and market risk on bank performance could contribute …

This paper empirically investigates the exchange rate effects of the New Taiwan dollar
against the Japanese Yen (NTD/JPY) on stock prices in Japan and Taiwan from January …

This paper studies the dynamics of the impact of currency fluctuation on Indian stock market
by assessing the pricing of exchange rate risk during the period 2005–2016, specifically …

Since the Asian Financial Crisis in 1997, the relationship between stock prices and
exchange rates has received considerable amount of attention from the economists …

This paper examines the importance of exchange rate exposure in the return generating
process for a large sample of non-financial firms from 37 countries. We argue that the effect …

This paper investigates the empirical evidence of the pricing of macroeconomic factors in the
Japanese stock market during the bubble period using Arbitrage Pricing Theory (APT) …

This paper conducts empirical tests in a conditional setting for 10 developed and 12
emerging markets to determine whether emerging market currency risk is priced and if it …

This paper develops a direct, explicit model for the role of exchange rate fluctuations in
international stock markets and examines how and to what extent volatility and correlations …

Using a GARCH approach, we estimate a time-varying two-factor international asset pricing
model for weekly equity index returns of 16 OECD countries. A trade-weighted basket of …