The impact of exchange rate risk on international asset pricing under various market structures

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dc.contributor.authorBayraktar, Sema
dc.date.accessioned2024-07-18T20:42:15Z
dc.date.available2024-07-18T20:42:15Z
dc.date.issued2009
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis article derives international equity pricing relations by taking into account inflationary exchange risk under various forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors.en_US
dc.identifier.doi10.1007/s11156-008-0089-4
dc.identifier.endpage195en_US
dc.identifier.issn0924-865X
dc.identifier.issn1573-7179
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-62749101199en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage169en_US
dc.identifier.urihttps://doi.org/10.1007/s11156-008-0089-4
dc.identifier.urihttps://hdl.handle.net/11411/7212
dc.identifier.volume32en_US
dc.identifier.wosWOS:000210621100004en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.relation.ispartofReview of Quantitative Finance and Accountingen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectMarket İntegration/Segmentationen_US
dc.subjectExchange Rate Risken_US
dc.subjectAsset Pricingen_US
dc.titleThe impact of exchange rate risk on international asset pricing under various market structuresen_US
dc.typeArticleen_US

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