scholarly journals The Effect of Markups on the Exchange Rate Exposure of Stock Returns

2000 ◽  
Vol 2000 (661) ◽  
pp. 1-22 ◽  
Author(s):  
George Allayannis ◽  
◽  
Jane Ihrig
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Exchange Rate Exposure ◽  
The Exchange Rate

scholarly journals Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries

2017 ◽  
Vol 4 (2) ◽  
pp. 262-279
Author(s):  
Minh Thi Hong Le ◽  
Ha Thi Cam Huynh ◽  
Hong Thi Thu Dinh ◽  
Minh Thi Hong Le ◽  
Ha Thi Cam Huynh ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Stock Returns ◽  
Real Exchange Rates ◽  
Currency Depreciation ◽  
Exchange Rate Fluctuations ◽  
Exchange Rate Exposure ◽  
The Exchange Rate ◽  
Net Export ◽  
The Impact

The study aims to analyse the impact of exchange rate exposure on stock returns in six countries representative of Southeast Asia, including Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam from 2009 to 2014. Both nominal and real exchange rates are taken into account for evaluating exchange rate fluctuations via panel data. In order to achieve this goal, a panel regressive estimation approach is proposed in which a GLS model is firstly used to treat heteroscedasticity in the panel data and, then, a GMM estimator is employed to ensure the consistency of the estimates. The results point out that the exchange rate exposure of these countries is asymmetric. At market level, for a rise in the exchange rate (or local currency depreciates), the average stock returns tend to decrease. However, due to the favourable impact of currency depreciation on the net export position, the reduction speed of stock returns is faster than the rising speed of the exchange rate.

An Empirical Analysis of Foreign Exchange Exposure of CNX 100 Companies

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 1-9 ◽  
Author(s):  
Sriram Mahadevan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Future Research ◽  
Export Ratio ◽  
Exchange Rate Exposure ◽  
Ratio Size ◽  
Foreign Exchange Exposure ◽  
Exchange Rate Changes

The present study has empirically examined the level of foreign exchange exposure and its determinants of CNX 100 companies. For the purpose of study, the relationship between exchange rate changes and stock returns for a sample of 82 companies was determined for the period April 2011-March 2016. The study finds that 49% of the sample companies had significant positive foreign exchange rate exposure and the found that the companies could be exporters or net importers. To explore factors determining foreign exchange rate exposure, variables such as export ratio, import ratio, size of a company, hedging activities were regressed against the exchange exposure and the study found that none of the factors was influencing the exchange rate exposure. The study concludes that the reasons for insignificant influence of the variables could be the natural hedging practices of companies, offsetting of exports and imports and heterogeneous of the sample size. The study offers few directions for future research in this area.

Factors Determining the Exchange Rate Exposure of Firms: Evidence from India

2021 ◽  
pp. 227853372110337
Author(s):  
Zakiya Begum Sayed ◽  
J. Gayathri
Keyword(s):  
Exchange Rate ◽  
Multinomial Logistic Regression ◽  
Exchange Rate Volatility ◽  
Strategic Decision ◽  
Firm Level ◽  
Factors Affecting ◽  
Business Operations ◽  
Industrial Sectors ◽  
Exchange Rate Exposure ◽  
The Exchange Rate

Exchange rate exposure is a strategic decision in finance and risk management at both the micro and macro level of business operations. Literature on the measurement, and management of this risk, has had no consensus on the factors affecting it as these factors seem to be dynamic. In an effort to consider a comprehensive study at the firm level, this article examines the exchange rate exposure of 271 constituent firms from the BSE S&P 500 index. The study period was 2001 to 2020 divided into sub-periods around the financial crises of 2008. The study uses two contemporary approaches (the capital market approach and the cash flow approach) and five relevant exchange rates (USD, EURO, GBP, JPY, and REER) to measure the foreign exchange. The sample firms were divided into 10 industrial sectors to identify the factors that lead to exposure of firms to exchange rate volatility. We use multinomial logistic regression to regress the select factors with the measured value of exchange rate exposure. The findings of the article suggest that multinationality, fixed asset utilization ratio, hedging activities, industrial sectors, size, and age of the firms are the significant determinants of such exposure. The results varied during the sub-periods and across industries.

scholarly journals The Stock Market and Exchange Rates in Five South Asian Countries

2017 ◽  
Vol 18 (1) ◽  
pp. 102 ◽  
Author(s):  
Firmansyah Firmansyah ◽  
Shanty Oktavilia
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Return ◽  
The Philippines ◽  
Short Run ◽  
The Exchange Rate

The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31 March 2017, this study utilizes Engle-Granger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns. To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries. The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

Exporters’ Exposures to Currencies: Beyond the Loglinear Model*

2015 ◽  
Vol 20 (4) ◽  
pp. 1631-1657 ◽  
Author(s):  
Kris Boudt ◽  
Fang Liu ◽  
Piet Sercu
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Real Option ◽  
Positive Impact ◽  
Constant Elasticity ◽  
Exporting Firms ◽  
Exchange Rate Exposure ◽  
The Exchange Rate ◽  
Exchange Rate Level ◽  
Smooth Transitions

Abstract We extend the constant-elasticity regression that is the default choice when equities’ exposure to currencies is estimated. In a proper real-option-style model for the exporters’ equity exposure to the foreign exchange rate, we argue, the convexity of the relationship implies that the elasticity should depend on the exchange rate level. For instance, it should shrink to zero when the option to export becomes worthless, and that should happen at a critical exchange rate that is still strictly positive. We propose a class of tractable multi-regime regression models featuring, in line with the real-options logic, smooth transitions and within-regime dynamics in the foreign exchange exposure. We then analyze the exchange rate exposure of Chinese exporting firms and find that the model in which the moneyness of the export option has a positive impact on the exchange rate exposure detects a significantly positive and convex exposure for 40% and 65% of the firms depending on whether the market return is included in the regression or not.

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