Measurement of Exchange Rate Exposure Using Two Factor Model: Evidence from CNX 100 Firms

2014 ◽  
Author(s):  
Krishna Prasad
Keyword(s):  
Exchange Rate ◽  
Factor Model ◽  
Exchange Rate Exposure ◽  
Model Evidence

scholarly journals Petroleum and Food Sectors Lost Stock Returns against Investments in PSX

2021 ◽  
Vol VI (I) ◽  
pp. 99-111
Author(s):  
Syed Muhammad Ali Tirmizi ◽  
Haider Ali ◽  
Sharif Ullah Jan
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Factor Model ◽  
Structural Break ◽  
Unit Root Test ◽  
Listed Firms ◽  
Market Return ◽  
Exchange Rate Exposure ◽  
Petroleum Sector ◽  
The Impact

The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and OLS multiple regression. Further, the Quandt-Andrews test of unknown breakpoint has been applied, which showed an extended structural break during the period 2007 to 2010. Additionally, the results revealed that the coefficients of exchange rate and market return are negatively related to petroleum and food sectors stock returns. Therefore, investors must take precautions before investing funds in stocks of food and petroleum sector firms.

A three-factor model investigation of foreign exchange-rate exposure

2010 ◽  
Vol 21 (1) ◽  
pp. 1-12 ◽  
Author(s):  
Stephen P. Huffman ◽  
Stephen D. Makar ◽  
Scott B. Beyer
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Factor Model ◽  
Foreign Exchange Rate ◽  
Model Investigation ◽  
Exchange Rate Exposure ◽  
Three Factor

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.

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