Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries

Exchanges: the Warwick Research Journal

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Title Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries
Creator Le, Minh Thi Hong
Huynh, Ha Thi Cam
Dinh, Hong Thi Thu
asymmetric exchange rate exposure; exchange rate risk; stock returns; stock market; Southeast Asia
Description 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.
Publisher University of Warwick, UK
Date 2017-04-30
Type info:eu-repo/semantics/article

Format application/pdf
Source Exchanges: the Warwick Research Journal; Vol 4, No 2 (2017): April; 262-279
Language eng
Rights Copyright (c) 2017 Exchanges: the Warwick Research Journal

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