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The paper empirically examines the relationship between stock returns, exchange rate, and market risks for the Canadian stock market operating in an increasingly global environment. Time varying prices of market and currency risks and corresponding risk premia are estimated. We investigate how estimated risk premia in different industry sectors are affected by macroeconomic events associated with globalization. We find that magnitude of shocks is greater, and risk premia at the times of economic shocks are greater in the post-1994 than in pre-1994 period, and this increase seems to be driven by the increased market exposure of stock returns.

Globalization And Time Varying Prices Of Market And Foreign Exchange Risks: Canadian Evidence