Table 3.

The exposure of stock returns in the Japanese transportation equipment industry to the yen/dollar exchange rate.

(1)	(2)	(3)	(4)	(5)	(6)
Sector or firm	Exchange Rate Elasticity	Standard Error	Adjusted R-squared	Standard Error of Regression	Number of Observations
Tires	0.387***	0.042	0.401	0.0148	6782
Automobiles	0.325***	0.027	0.669	0.0096	6782
Automobile parts	0.241***	0.025	0.722	0.0086	6782
Commercial vehicles & trucks	0.118***	0.032	0.630	0.0117	6782
Shimano	0.007	0.051	0.000	0.0215	6782

Note: The exchange rate coefficients come from a regression of stock returns in each sector on the change in the yen/dollar exchange rate, the return on the Japanese stock market, and the return on the world stock market. Daily data over the 1 September 1993 to 29 August 2019 are used. There are 6782 observations. Heteroskedasticity and autocorrelation consistent standard errors are reported.

^***Denotes significance at the 1 % level.

Source: Datastream database, Federal Reserve Bank of St. Louis FRED database, and calculations by the author.