Bae, Sung C.Li, MingshengShi, Jing2015-12-071540-496Xhttp://hdl.handle.net/1885/17991Previous 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 eventKeywords: Chinese stock market; foreign exchange rate; market efficiency; price discounts; stock returns201110.2753/Ree1540-496X4701S1022016-02-24