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Exchange Rate Exposure: International Evidence from Daily Firm-Level Data

Journal of Economic Integration, 2017, 32(1), , pp.112-159 [Peer Reviewed Journal]

2017-Center for Economic Integration, Sejong Institution, Sejong University ;COPYRIGHT(C) KYOBO BOOK CENTRE ALL RIGHTS RESERVED ;Copyright Journal of Economic Integration Mar 2017 ;ISSN: 1225-651X ;EISSN: 1976-5525 ;DOI: 10.11130/jei.2017.32.1.112

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  • Title:
    Exchange Rate Exposure: International Evidence from Daily Firm-Level Data
  • Author: Jeon, Bang Nam ; Zheng, Dazhi ; Zhu, Lei
  • Subjects: Coefficients ; Currency ; Economic models ; Emerging markets ; Exchange rates ; Foreign exchange markets ; Foreign exchange rate risk ; Foreign exchange rates ; Industrial market ; Industrial products ; International economics ; Stock markets ; Stock prices ; 경제학
  • Is Part Of: Journal of Economic Integration, 2017, 32(1), , pp.112-159
  • Description: This paper examines impact of changes in the foreign exchange rate on firms' stock returns in global markets. Using daily firm-level data for 14 international markets from January 2000 to December 2011, we find evidence that changes in the trade-weighted multilateral exchange rate systematically impact individual firms' stock returns for all seven emerging markets and some advanced economies. Controlling for price factors such as market risk premium, Fama-French factors, the momentum, and the liquidity factor, we correct the upward bias of the estimation. Stocks in export-oriented economies are shown to considerably benefit from local currency depreciation. Further, in emerging markets, exchange rate movements affect larger firms with more intense global connections, but in advanced markets, they affect smaller firms with limited access to hedging to a larger extent. Long-run equilibrium relationships between stock markets and foreign exchange markets become stronger since the global financial crisis of 2008~2009.
  • Publisher: Seoul: Center for Economic Integration, Sejong Institution, Sejong University
  • Language: English;Korean
  • Identifier: ISSN: 1225-651X
    EISSN: 1976-5525
    DOI: 10.11130/jei.2017.32.1.112
  • Source: Alma/SFX Local Collection
    ProQuest Central
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