Openness and the exchange rate exposure of national stock markets

Friberg, Richard; Nydahl, Stefan

doi:10.1002/(sici)1099-1158(199901)4:1<55::aid-ijfe90>3.0.co;2-1

Cited by 22 publications

(27 citation statements)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Note 2. See Friberg and Nydahl (1999); Total trade represents 140% of the GDP in 2008, compared to 24% in U.S. Note 3.…”

Section: Notessupporting

confidence: 88%

Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

Varga¹

2013

IBR

View full text Add to dashboard Cite

This study investigates foreign exchange exposure and the impacts of asymmetries and volatilities on the daily returns of Taiwanese non-financial firms from 1990 to 2010. 88.8% of our samples are negatively exposed, companies benefiting from an appreciation of the domestic currency. 14% of the firms have an asymmetrical profile. If this percentage is not negligible, Taiwanese firms exhibit mainly a symmetric exposure. Currency volatilities have a significant impact for only 7.5% of the firms, but for 37.38% of the sample, we observe the existence of an asymmetric volatility. Among them, 65% exhibit a negative sign meaning that good news have a greater impact on the volatility than bad news, which seems counter-intuitive. These results may be explained by a chasing good news behavior and the effects of a high level of information uncertainty.

show abstract

“…Note 2. See Friberg and Nydahl (1999); Total trade represents 140% of the GDP in 2008, compared to 24% in U.S. Note 3.…”

Section: Notessupporting

confidence: 88%

Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

Varga¹

2013

IBR

View full text Add to dashboard Cite

show abstract

“…6 The empirical examination of foreign exchange exposure has traditionally followed the methodology applied among others, by Friberg and Nydahl (1999), where logarithmic stock returns t r are regressed on exchange rate…”

Section: Modeling Non-linear Exposure With Markov Regime-switchesmentioning

confidence: 97%

Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets^*

Holmes

Maghrebi

2002

International Economic Journal

View full text Add to dashboard Cite

“…Conversely, using monthly data for 1977-1989, Chow et al (1997 find no significant relation between monthly excess stock and exchange rate returns. Using monthly data on 10 industrialized countries between January 1973 and August 1996, Friberg and Nydahl (1999) explore the linkage between currency exposure and openness of the national economy. The evidence they unearth shows that the more open the economy is, the stronger the positive relation between stock returns and exchange rate fluctuation.…”

Section: Related Literaturementioning

confidence: 99%

“…Wu et al, 2007;Luo and Jiang, 2007). In more recent research, Aggarwal et al (2011) find that Chinese firms have relatively low exchange rate exposure than firms in other countries, while Miao et al Methodologically, Friberg and Nydahl (1999) examine currency exposure using both the OLS and the generalized least squares (GLS) methods. Dominguez and Tesar (2001) adopt an augmented CAPM-type OLS regression, but the focus is on firm-level and industrylevel exposure in France, Japan, the Netherlands and the UK.…”

Section: Related Literaturementioning

confidence: 99%

Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence

Nie

Zhang

et al. 2015

China and World Economy

View full text Add to dashboard Cite

Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. AbstractThe present paper studies China's national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi (RMB) to move towards greater flexibility. Using generalized autoregressive conditional heteroskedastic and constant conditional correlation-generalized autoregressive conditional heteroskedastic methods to estimate the augmented capital asset pricing models with orthogonalized stock returns, we find that China equity indexes are significantly exposed to exchange rate movements. In a static setting, there is strong sensitivity of stock returns to movements of China's tradeweighted exchange rate, and to the bilateral exchange rates except the RMB/dollar rate. However, in a dynamic framework, exposure to all the bilateral currency pairs under examination is significant. The results indicate that under the new exchange rate regime, China's gradualist approach to moving towards greater exchange rate flexibility has managed to keep exposure to a moderate level. However, we find evidence that in a dynamic setting, the exposure of the RMB to the dollar and other major currencies is significant. For China, the challenge of managing currency risk exposure is looming greater.

show abstract

Openness and the exchange rate exposure of national stock markets

Cited by 22 publications

References 10 publications

Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets^*

Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence

Contact Info

Product

Resources

About

Openness and the exchange rate exposure of national stock markets

Cited by 22 publications

References 10 publications

Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets*

Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence

Contact Info

Product

Resources

About

Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets^*