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Asymmetric currency exposure of US bank stock returns

โœ Scribed by Chu-Sheng Tai


Book ID
113810536
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
187 KB
Volume
15
Category
Article
ISSN
1042-444X

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International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market ret