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QUESTION 22 Assume that the domestic volatility (standard deviation in yen) of the Japanese stock market is 18%. The volatility of the yen against the

QUESTION 22

Assume that the domestic volatility (standard deviation in yen) of the Japanese stock market is 18%. The volatility of the yen against the U.S. dollar is 6%. What would the dollar volatility of the Japanese stock market be for a U.S. investor if the correlation between the Japanese stock market returns and exchange rate movements were zero?

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