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The London International Stock Exchange's Foreign Currency Exposures to the Dollar, Yen and Mark

Oscar Varela (Department of Economics and Finance, Univer‐sity of New Orleans)
Atsuyuki Naka (Department of Economics and Finance, Univer‐sity of New Orleans)

Managerial Finance

ISSN: 0307-4358

Article publication date: 1 July 1997

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Abstract

This paper studies the exchange rate exposure of investments by the United States, Japan and Germany in the London International Stock Exchange (LSE) from 1982 to 1991. Japanese and German investments are fully exposed to their own exchange rates, and the US is “supernominally” exposed to its own exchange rate. No significant changes in exposure are associated with the Plaza and Louvre Accords. The 1987 worldwide stock market crash exhibits a significant decrease in US exposure, and increase in German exposure. US, Japanese and German investments are also fully exposed to their own exchange rates for the periods before and after the 1986 “Big Bang” in London, except that US investments are “supernominally” exposed in the pre‐Big Bang period.

Citation

Varela, O. and Naka, A. (1997), "The London International Stock Exchange's Foreign Currency Exposures to the Dollar, Yen and Mark", Managerial Finance, Vol. 23 No. 7, pp. 45-57. https://doi.org/10.1108/eb018634

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MCB UP Ltd

Copyright © 1997, MCB UP Limited