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For currency/equity traders:
Those looking at the Dollar Index for stock market direction may find the
study's other findings interesting.
Just finished reading the Bank of International Settlements' Annual Report
released in mid-June.
Found, on Section V, "Foreign Exchange Market Developments" under "Stock
Market & Exchange Rates", page 90-92. the summary of research covering 25
years' correlation of price moves between, well, stock markets and foreign
currencies for US, Japan and Germany... this conclusion:
"Overall, these results suggest that the relationship between exchange rate
movements and stock market returns is weak. The movements of the major
bilateral exchange rates do not appear to be influenced to any significant
extent
by the performance (be it absolute or relative) of the US, Japanese and
German stock markets. Moreover, the time pattern of these correlations does
not support the conclusion that they were broadly driven by key
macro-economic
fundamentals, such as the cyclical performance, or by the relative
monetary policy stance."
Those interested may want to read it for themselves at
http://www.bis.org/publ/ar2000e.htm
Gitanshu
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