International competition and exchange rate shocks: A cross-country industry analysis of stock returns

This article systematically examines the importance of exchange rate moveme nts and industry competition for stock returns. Common shocks to industries across countries are more important than competitive shocks due to changes in exchange rates. Weekly exchange rate shacks explain almost nothing of t he relative performance of industries. Using returns measured over longer h orizons, the importance of exchange rate shocks increases slightly and the importance of industry common shocks increases more substantially. Both ind ustry and exchange rate shocks are more important for industries that produ ce internationally traded goods, but the importance of these shocks is econ omically small for these industries as well.