Heterogeneous Investors' Reaction to Exchange Rate Movements: New Evidence from a Unique Emerging Market

Bae, Sung C.; Li, Mingsheng; Shi, Jing

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Heterogeneous Investors' Reaction to Exchange Rate Movements: New Evidence from a Unique Emerging Market

Date

2011

Authors

Bae, Sung C.

Li, Mingsheng

Shi, Jing

Publisher

M E Sharpe Inc

Abstract

Previous studies find mixed results on the relation between exchange rate movements and stock returns. We revisit the issue by exploring the effect of market efficiency and heterogeneous investors' reaction to exchange rate changes using the unique event