Abstract

This paper investigates the time-series dynamics of the sensitivities of stock returns as to three Japanese
representative automobile industry firms to the changes of the yen/US dollars exchange rates. Further, we also
empirically examine whether the yen/US dollars exchange rates are priced in the Japanese automobile industry
firms. We are particularly interested in the period after the US Lehman Shock in this study. Our formal statistical
tests firstly demonstrate that recently, the sensitivities of the Japanese automobile industry stocks to the yen/US
dollars exchange rates clearly increased. Moreover, the results of our traditional regressions clearly indicate that
as to the representative automobile industry firms in Japan, the yen/US dollars exchange rate changes are
generally priced in the Japanese equity markets, and their degrees of pricing are highest in the period after the
US Lehman Shock.

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