Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets

  • Mohan Nandha, Shawkat Hammoudeh
  • Published 2006


This paper examines the relationship between beta risk and realized stock index return in the presence of oil and exchange rate sensitivities for 15 countries in the Asia-Pacific region using the international factor model. Thirteen of the 15 countries have the expected beta signs and show significant sensitivity to domestic risk when the world stock market… (More)


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