Exchange Rate Changes and Stock Returns: The Recent Cases of the Japanese Electric Appliances Industry Firms

Abstract

This study explores the time-series dynamics of the sensitivities of stock returns to the US-yen exchange rates. We also investigate whether the US-yen exchange rates are priced in recent periods in the Japanese electric appliances industry. Our investigations firstly indicate that recently, the sensitivities of the Japanese electric appliances industry stocks to exchange rates increased. Further, our standard regressions clearly show that as to the Japanese electric appliances industry firms, in the recent periods, exchange rate changes are priced in the Japanese equity markets.