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

  • Mohan Nandha, Shawkat Hammoudeh
  • Published 2006

Abstract

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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